V-Lab: Canadian Dollar GJR-GARCH Volatility Analysis

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V-Lab

Canadian Dollar GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:4.72% (-0.07%)

Analysis last updated: Sunday, April 28, 2024 at 01:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0005	12.42
$α$	0.0362	18.58
$β$	0.9665	942.95
$γ$	-0.0129	-4.99

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

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