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 Friday, September 20th, 2024:3.71% (-0.04%)

Analysis last updated: Thursday, September 19, 2024 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8576	7.06
$α$	0.0308	7.18
$β$	0.9649	206.56
$γ_{1}$	-0.0002	-1.36

Estimation Period:
Jan 2, 1990 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts