V-Lab: Canadian Dollar Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Canadian Dollar Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, March 19th, 2025:5.95% (+0.10%)

Analysis last updated: Tuesday, March 18, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8243	6.13
$α$	0.0312	7.18
$β$	0.9641	202.11
$γ_{1}$	-0.0004	-0.80

Estimation Period:
Jan 2, 1990 to Mar 14, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts