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{name} Model Equation

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Param	Value	t-stat
ωconst	1.2579	6.57***
αARCH	0.0408	7.82***
βGARCH	0.9367	113.17***

γ₁	0.0109	0.53
γ₂	-0.0287	-0.90
γ₃	0.0229	1.01
γ₄	0.0204	0.95
γ₅	-0.0694	-3.15***
γ₆	0.0833	4.06***
γ₇	-0.0715	-3.29***
γ₈	0.0768	3.28***
γ₉	-0.0974	-2.65***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2579	6.57***
α ARCH Response to squared shocks	0.0408	7.82***
β GARCH Volatility persistence	0.9367	113.17***

γ₁	0.0109	0.53
γ₂	-0.0287	-0.90
γ₃	0.0229	1.01
γ₄	0.0204	0.95
γ₅	-0.0694	-3.15***
γ₆	0.0833	4.06***
γ₇	-0.0715	-3.29***
γ₈	0.0768	3.28***
γ₉	-0.0974	-2.65***

V-Lab

US Dollar to Japanese Yen Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Japanese Yen Analyses