V-Lab: Canadian Dollar GARCH Volatility Analysis

V-Lab

|

V-Lab

Canadian Dollar GARCH Volatility Analysis

Volatility Prediction for Friday, December 1st, 2023:5.13% (-0.05%)

Analysis last updated: Thursday, November 30, 2023 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0006	13.95
$α$	0.0307	28.94
$β$	0.9656	859.88

Estimation Period:
Jan 2, 1990 to Nov 24, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts