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

V-Lab

Canadian Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:5.77% (+0.18%)

Analysis last updated: Friday, May 9, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8499	7.35
$α$	0.0312	7.24
$β$	0.9642	204.07
$γ_{1}$	-0.0002	-1.54

Estimation Period:
Jan 2, 1990 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts