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

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V-Lab

Laurentian Bank of Canada Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:29.55% (-0.37%)

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
$ω$	1.2939	5.53
$α$	0.2018	8.62
$β$	0.6558	18.74
$γ_{1}$	0.0757	1.37
$γ_{2}$	-0.0737	-0.82
$γ_{3}$	-0.0027	-0.04
$γ_{4}$	-0.0975	-1.73
$γ_{5}$	0.3036	5.83
$γ_{6}$	-0.4276	-8.36
$γ_{7}$	0.3533	7.07
$γ_{8}$	-0.1523	-2.92
$γ_{9}$	0.0416	0.58
$γ_{10}$	-0.0082	-0.08

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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