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

V-Lab

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V-Lab

iShares MSCI Emerging Markets ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, November 22nd, 2024:16.80% (-0.75%)

Analysis last updated: Thursday, November 21, 2024 at 10:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6019	5.42
$α$	0.1007	8.24
$β$	0.8686	64.14
$γ_{1}$	-0.0484	-3.24
$γ_{2}$	0.0660	3.18
$γ_{3}$	-0.0199	-2.40

Estimation Period:
Apr 14, 2003 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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