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, January 30th, 2023:6.77% (-0.11%)

Analysis last updated: Sunday, January 29, 2023, 02:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8323	6.83
$α$	0.0311	6.97
$β$	0.9644	197.54
$γ_{1}$	-0.0002	-1.62

Estimation Period:
Jan 2, 1990 to Jan 28, 2023

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