V-Lab: Canadian Dollar AGARCH Volatility Analysis

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V-Lab

Canadian Dollar AGARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:5.33% (+0.14%)

Analysis last updated: Friday, April 19, 2024 at 07:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0004	7.79
$α$	0.0299	29.96
$β$	0.9662	901.31
$γ$	-0.0730	-9.54

Estimation Period:
Jan 2, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts