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

V-Lab

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V-Lab

iShares MSCI Singapore Capped ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:16.57% (-0.15%)

Analysis last updated: Thursday, April 18, 2024 at 10:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8979	6.11
$α$	0.0956	9.91
$β$	0.8801	79.42
$γ_{1}$	-0.0778	-4.14
$γ_{2}$	0.1195	4.30
$γ_{3}$	-0.0811	-3.99
$γ_{4}$	0.0820	3.96
$γ_{5}$	-0.0586	-4.10

Estimation Period:
Apr 1, 1996 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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