US Dollar to Japanese Yen EGARCH Volatility Analysis
Volatility prediction for Thursday, October 15th, 2026
1 Day
5.72%
decreased by 0.09%
1 Week
5.84%
increased by 0.03%
1 Month
6.31%
increased by 0.50%
Analysis last updated: Wednesday, October 14, 2026 at 08:17 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 11, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 67% more than equivalent positive returns.
σ
EGARCH Model
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Leverage: Negative returns increase volatility 67% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | -0.0073 | -2.31** |
| αARCH | 0.1021 | 9.60*** |
| βGARCH | 0.9864 | 376.35*** |
| γleverage | -0.0257 | -2.99*** |
0.986
Persistence51d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | -0.0073 | -2.31** |
α ARCH Response to squared shocks | 0.1021 | 9.60*** |
β GARCH Volatility persistence | 0.9864 | 376.35*** |
γ leverage Additional response to negative shocks | -0.0257 | -2.99*** |
Persistence:
0.986
Half-life:
51 days
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