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

V-Lab

Canadian Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 17th, 2025:7.36% (+0.06%)

Analysis last updated: Wednesday, April 16, 2025 at 07:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8522	7.24
$α$	0.0313	7.24
$β$	0.9642	204.29
$γ_{1}$	-0.0002	-1.55

Estimation Period:
Jan 2, 1990 to Apr 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts