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 Monday, January 30th, 2023:6.82% (-0.10%)

Analysis last updated: Sunday, January 29, 2023, 01:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8502	5.93
$α$	0.0311	6.98
$β$	0.9645	198.54
$γ_{1}$	-0.0001	-0.12

Estimation Period:
Jan 2, 1990 to Jan 28, 2023

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts