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

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V-Lab

Canadian Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 4th, 2023:5.15% (-0.07%)

Analysis last updated: Sunday, December 3, 2023 at 02:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8246	4.99
$α$	0.0312	7.10
$β$	0.9641	200.36
$γ_{1}$	-0.0003	-0.21
$γ_{2}$	0.0000	0.03

Estimation Period:
Jan 2, 1990 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts