V-Lab: Canadian Dollar Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Canadian Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:5.20% (+0.11%)

Analysis last updated: Thursday, April 18, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8302	7.18
$α$	0.0309	7.11
$β$	0.9644	202.31
$γ_{1}$	-0.0002	-1.65

Estimation Period:
Jan 2, 1990 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts