Bloomberg Asian Pacific Japanese Yen TR Index Value Unhedged JPY EGARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
4.97%
decreased by 0.21%
1 Week
4.89%
decreased by 0.29%
1 Month
4.63%
decreased by 0.55%
Analysis last updated: Friday, July 17, 2026 at 11:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 17, 2019 to Apr 4, 2025Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 23% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | -0.0754 | -11.28*** |
α ARCH Response to squared shocks | 0.3401 | 24.22*** |
β GARCH Volatility persistence | 0.9749 | 562.24*** |
γ leverage Additional response to negative shocks | 0.0349 | 3.62*** |
Persistence:
0.975
Half-life:
27 days
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