V-Lab: Canadian Dollar Spline-GARCH Volatility Analysis

V-Lab

Canadian Dollar Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, September 17th, 2025:3.91% (+0.18%)

Analysis last updated: Tuesday, September 16, 2025 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8079	6.16
$α$	0.0316	7.23
$β$	0.9636	200.71
$γ_{1}$	-0.0005	-1.18

Estimation Period:
Jan 2, 1990 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts