V-Lab: Laurentian Bank of Canada Spline-GARCH Volatility Analysis

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V-Lab

Laurentian Bank of Canada Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 21st, 2024:27.15% (-0.79%)

Analysis last updated: Saturday, May 18, 2024 at 04:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3051	5.57
$α$	0.2007	8.60
$β$	0.6587	18.83
$γ_{1}$	0.0762	1.39
$γ_{2}$	-0.0735	-0.82
$γ_{3}$	-0.0051	-0.08
$γ_{4}$	-0.0928	-1.64
$γ_{5}$	0.2983	5.74
$γ_{6}$	-0.4261	-8.37
$γ_{7}$	0.3586	7.16
$γ_{8}$	-0.1632	-3.16
$γ_{9}$	0.0575	0.80
$γ_{10}$	-0.0480	-0.47

Estimation Period:
Jan 1, 1990 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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