V-Lab: Canadian Dollar Spline-GARCH Volatility Analysis

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V-Lab

Canadian Dollar Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:4.30% (-0.02%)

Analysis last updated: Friday, September 22, 2023 at 07:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8292	5.99
$α$	0.0315	7.10
$β$	0.9639	198.17
$γ_{1}$	-0.0003	-0.47

Estimation Period:
Jan 2, 1990 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts