V-Lab
Canadian Dollar GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
6.89%
decreased by 0.56%
1 Week
11.36%
increased by 3.91%
1 Month
17.76%
increased by 10.31%
Analysis last updated: Sunday, July 26, 2026 at 01:57 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 7 trading days, meaning a shock loses half its impact after approximately 7 days. Returns follow a Student-t distribution with v = 8.00 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.1266 | 0.00 |
α ARCH Response to squared shocks | 0.6812 | 0.00 |
β GARCH Volatility persistence | 0.9086 | 0.00 |
ν DF Student-t tail thickness | 7.9990 | 0.00 |
Persistence:
0.909
Half-life:
7 days
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