V-Lab: Canadian Dollar GJR-GARCH Volatility Analysis

V-Lab

Canadian Dollar GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, September 1st, 2025:4.10% (-0.02%)

Analysis last updated: Friday, August 29, 2025 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0005	12.72
$α$	0.0370	19.17
$β$	0.9659	942.35
$γ$	-0.0137	-5.35

Estimation Period:
Jan 2, 1990 to Aug 29, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts