V-Lab: Canadian Dollar EGARCH Volatility Analysis

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V-Lab

Canadian Dollar EGARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:6.77% (-0.18%)

Analysis last updated: Sunday, January 29, 2023, 01:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	-0.0015	-2.06
$α$	0.0813	29.47
$β$	0.9953	2619.08
$γ$	0.0132	5.78

Estimation Period:
Jan 2, 1990 to Jan 28, 2023

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Volatility Forecasts

Volatility Forecasts