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

V-Lab

Canadian Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 21st, 2025:7.24% (-0.05%)

Analysis last updated: Friday, April 18, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8518	7.25
$α$	0.0313	7.25
$β$	0.9643	204.64
$γ_{1}$	-0.0002	-1.55

Estimation Period:
Jan 2, 1990 to Apr 18, 2025

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Volatility Forecasts

Volatility Forecasts