V-Lab: Canadian Dollar APARCH Volatility Analysis

V-Lab

|

V-Lab

Canadian Dollar APARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:5.31% (+0.72%)

Analysis last updated: Tuesday, October 3, 2023 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0005	11.23
$α$	0.0298	26.28
$β$	0.9658	929.51
$γ$	-0.1062	-8.57
$δ$	2.0190	41.09

Estimation Period:
Jan 2, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts