V-Lab: Canadian Dollar EGARCH Volatility Analysis

V-Lab

Canadian Dollar EGARCH Volatility Analysis

Volatility Prediction for Friday, July 11th, 2025:5.07% (-0.12%)

Analysis last updated: Thursday, July 10, 2025 at 07:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	-0.0019	-2.67
$α$	0.0813	30.84
$β$	0.9951	2,646.64
$γ$	0.0137	6.34

Estimation Period:
Jan 2, 1990 to Jul 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts