V-Lab: Canadian Dollar GJR-GARCH Volatility Analysis

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V-Lab

Canadian Dollar GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 22nd, 2025:3.67% (+0.05%)

Analysis last updated: Tuesday, October 21, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0005	12.44
$α$	0.0370	19.33
$β$	0.9659	945.15
$γ$	-0.0137	-5.37

Estimation Period:
Jan 2, 1990 to Oct 18, 2025

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Volatility Forecasts

Volatility Forecasts