V-Lab: Canadian Dollar MF2-GARCH Volatility Analysis

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V-Lab

Canadian Dollar MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, October 28th, 2024:0.19% (-0.30%)

Analysis last updated: Friday, October 25, 2024 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.7500	7499900.00
$β$	0.0000	100.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.0273	272820.00
$λ_{2}$	0.0106	105510.00
$λ_{3}$	0.6711	6711030.00

Estimation Period:
Jan 2, 1990 to Oct 25, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts