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 Thursday, April 25th, 2024:18.77% (-0.88%)

Analysis last updated: Wednesday, April 24, 2024 at 09:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8994	6.10
$α$	0.0954	9.93
$β$	0.8805	79.81
$γ_{1}$	-0.0775	-4.13
$γ_{2}$	0.1190	4.28
$γ_{3}$	-0.0805	-3.96
$γ_{4}$	0.0814	3.92
$γ_{5}$	-0.0581	-4.06

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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