V-Lab: Canadian Dollar Spline-GARCH Volatility Analysis

V-Lab

Canadian Dollar Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 23rd, 2025:4.90% (-0.06%)

Analysis last updated: Friday, June 20, 2025 at 07:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8164	6.21
$α$	0.0314	7.22
$β$	0.9638	201.46
$γ_{1}$	-0.0004	-0.91

Estimation Period:
Jan 2, 1990 to Jun 20, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts