V-Lab: iShares FTSE China ETF Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

iShares FTSE China ETF Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, August 24th, 2015:30.52% (-0.59%)

Analysis last updated: Friday, April 29, 2016 at 06:17 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7300	6.25
$α$	0.0693	3.19
$β$	0.9026	30.95
$γ_{1}$	0.2053	1.87
$γ_{2}$	-0.2414	-1.25
$γ_{3}$	0.1999	0.79

Estimation Period:
Jun 26, 2008 to Aug 21, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts