V-Lab: Canadian Dollar GJR-GARCH Volatility Analysis

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V-Lab

Canadian Dollar GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, February 5th, 2025:7.66% (+1.27%)

Analysis last updated: Tuesday, February 4, 2025 at 07:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0005	12.62
$α$	0.0357	18.73
$β$	0.9665	942.92
$γ$	-0.0120	-4.66

Estimation Period:
Jan 2, 1990 to Jan 31, 2025

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Volatility Forecasts

Volatility Forecasts