Canadian Dollar GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
4.28%
1 Week
4.29%
1 Month
4.34%
Analysis last updated: Thursday, October 29, 2026 at 07:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 23, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 264 trading days (~1.0 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.59 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.1718 | 1.51 |
| αscore | 0.0307 | 15.73*** |
| βpersistence | 0.9974 | 632.85*** |
| νDF | 4.5933 | 4.98*** |
0.997
Persistence264d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.1718 | 1.51 |
α score Weight on the scaled score | 0.0307 | 15.73*** |
β persistence Volatility persistence | 0.9974 | 632.85*** |
ν DF Student-t tail thickness | 4.5933 | 4.98*** |
Persistence:
0.997
Half-life:
264 days
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