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 23rd, 2024:5.52% (-0.05%)

Analysis last updated: Friday, December 20, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8562	7.20
$α$	0.0310	7.23
$β$	0.9646	206.33
$γ_{1}$	-0.0002	-1.44

Estimation Period:
Jan 2, 1990 to Dec 20, 2024

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Volatility Forecasts

Volatility Forecasts