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

V-Lab

|

V-Lab

Canadian Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:7.09% (+0.06%)

Analysis last updated: Thursday, June 1, 2023 at 07:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8393	4.88
$α$	0.0311	7.05
$β$	0.9645	200.36
$γ_{1}$	-0.0001	-0.10
$γ_{2}$	-0.0001	-0.09

Estimation Period:
Jan 2, 1990 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts