V-Lab: Canadian Dollar Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Canadian Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 15th, 2025:3.97% (0.00%)

Analysis last updated: Friday, September 12, 2025 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8637	7.38
$α$	0.0314	7.31
$β$	0.9640	204.85
$γ_{1}$	-0.0002	-1.36

Estimation Period:
Jan 2, 1990 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts