V-Lab: iShares MSCI Japan ETF EGARCH Volatility Analysis

V-Lab

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V-Lab

iShares MSCI Japan ETF EGARCH Volatility Analysis

Volatility Prediction for Wednesday, April 24th, 2024:17.91% (-0.98%)

Analysis last updated: Tuesday, April 23, 2024 at 10:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0137	8.47
$α$	0.1685	40.78
$β$	0.9838	1041.02
$γ$	-0.0639	-16.40

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts