V-Lab: Laurentian Bank of Canada Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Laurentian Bank of Canada Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:26.33% (-0.41%)

Analysis last updated: Friday, April 26, 2024 at 02:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2624	5.47
$α$	0.1986	8.57
$β$	0.6600	18.74
$γ_{1}$	0.0613	1.10
$γ_{2}$	-0.0500	-0.55
$γ_{3}$	-0.0207	-0.30
$γ_{4}$	-0.0786	-1.38
$γ_{5}$	0.2827	5.41
$γ_{6}$	-0.4078	-8.00
$γ_{7}$	0.3401	6.82
$γ_{8}$	-0.1508	-2.99
$γ_{9}$	0.0599	0.94
$γ_{10}$	-0.0760	-1.32

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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