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

V-Lab

Canadian Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:5.43% (-0.05%)

Analysis last updated: Friday, May 30, 2025 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8499	7.38
$α$	0.0312	7.25
$β$	0.9641	204.09
$γ_{1}$	-0.0002	-1.53

Estimation Period:
Jan 2, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts