V-Lab: Canadian Dollar Spline-GARCH Volatility Analysis

V-Lab

Canadian Dollar Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 15th, 2025:4.46% (-0.06%)

Analysis last updated: Monday, July 14, 2025 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8144	6.21
$α$	0.0314	7.22
$β$	0.9637	201.20
$γ_{1}$	-0.0004	-0.96

Estimation Period:
Jan 2, 1990 to Jul 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts