V-Lab: iShares MSCI ACWI ETF MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

iShares MSCI ACWI ETF MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, October 1st, 2024:10.78% (-0.27%)

Analysis last updated: Monday, September 30, 2024 at 09:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	81
$α$	0.0000	0.00
$β$	0.8607	282.93
$γ$	0.1725	32.58
$λ_{1}$	0.0748	1.70
$λ_{2}$	0.4123	1.71
$λ_{3}$	0.5190	1.83

Estimation Period:
May 31, 2000 to Sep 27, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts