Bloomberg Asian Pacific Japanese Yen TR Index Value Unhedged JPY Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
4.41%
increased by 1.08%
1 Week
4.34%
increased by 1.01%
1 Month
4.22%
increased by 0.89%
Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 17, 2019 to Oct 8, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 4 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9714 | 5.47*** |
| αARCH | 0.1909 | 4.31*** |
| βGARCH | 0.6647 | 12.64*** |
Spline Coefficients
K=6
| γ1 | -1.2303 | -2.92*** |
| γ2 | 2.9354 | 4.26*** |
| γ3 | -2.3213 | -4.24*** |
| γ4 | 0.1827 | 0.38 |
| γ5 | 0.9691 | 2.30** |
| γ6 | -0.8048 | -2.63*** |
0.856
Persistence4d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9714 | 5.47*** |
α ARCH Response to squared shocks | 0.1909 | 4.31*** |
β GARCH Volatility persistence | 0.6647 | 12.64*** |
Spline Coefficients
K=6
| γ1 | -1.2303 | -2.92*** |
| γ2 | 2.9354 | 4.26*** |
| γ3 | -2.3213 | -4.24*** |
| γ4 | 0.1827 | 0.38 |
| γ5 | 0.9691 | 2.30** |
| γ6 | -0.8048 | -2.63*** |
Persistence:
0.856
Half-life:
4 days
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