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

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V-Lab

Canadian Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:4.90% (0.00%)

Analysis last updated: Friday, April 26, 2024 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8317	7.18
$α$	0.0309	7.11
$β$	0.9645	202.83
$γ_{1}$	-0.0002	-1.62

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

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Volatility Forecasts

Volatility Forecasts