V-Lab: Canadian Dollar MF2-GARCH Volatility Analysis

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V-Lab

Canadian Dollar MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:0.04% (-4.31%)

Analysis last updated: Thursday, April 25, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	1.0000	9999900.00
$β$	0.0000	100.00
$γ$	0.0000	10.00
$λ_{1}$	9.7353	97353390.00
$λ_{2}$	0.0265	264760.00
$λ_{3}$	0.0000	100.00

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts