V-Lab: iShares MSCI Canada ETF Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

iShares MSCI Canada ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:14.06% (-0.36%)

Analysis last updated: Thursday, April 25, 2024 at 09:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8531	5.87
$α$	0.0859	6.83
$β$	0.8923	69.13
$γ_{1}$	-0.0776	-4.00
$γ_{2}$	0.1228	4.24
$γ_{3}$	-0.0906	-4.22
$γ_{4}$	0.0926	4.18
$γ_{5}$	-0.0654	-3.98

Estimation Period:
Apr 1, 1996 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts