V-Lab: Canadian Dollar GJR-GARCH Volatility Analysis

Skip to main content

V-Lab

Canadian Dollar GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, October 14th, 2025:3.76% (-0.02%)

Analysis last updated: Monday, October 13, 2025 at 07:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0005	12.56
$α$	0.0371	19.34
$β$	0.9659	944.19
$γ$	-0.0138	-5.40

Estimation Period:
Jan 2, 1990 to Oct 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts