V-Lab: Canadian Dollar EGARCH Volatility Analysis

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V-Lab

Canadian Dollar EGARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:4.48% (-0.01%)

Analysis last updated: Friday, September 22, 2023 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	-0.0017	-2.32
$α$	0.0818	29.97
$β$	0.9952	2625.79
$γ$	0.0127	5.62

Estimation Period:
Jan 2, 1990 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts