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

V-Lab

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V-Lab

iShares MSCI Germany ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:14.66% (-0.53%)

Analysis last updated: Friday, April 19, 2024 at 11:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6329	6.25
$α$	0.0914	7.84
$β$	0.8836	68.92
$γ_{1}$	-0.0827	-4.62
$γ_{2}$	0.1326	4.77
$γ_{3}$	-0.0928	-4.04
$γ_{4}$	0.0687	2.92
$γ_{5}$	-0.0309	-1.87

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts