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

V-Lab

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V-Lab

iShares MSCI France ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 24th, 2024:15.23% (+0.53%)

Analysis last updated: Tuesday, April 23, 2024 at 09:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0149	5.49
$α$	0.1103	7.95
$β$	0.8565	59.05
$γ_{1}$	-0.0518	-2.65
$γ_{2}$	0.1102	3.89
$γ_{3}$	-0.1210	-6.14
$γ_{4}$	0.1054	5.72
$γ_{5}$	-0.0538	-4.17

Estimation Period:
Apr 2, 1996 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts