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 Tuesday, December 24th, 2024:18.09% (-0.67%)

Analysis last updated: Monday, December 23, 2024 at 10:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6031	5.51
$α$	0.1010	8.27
$β$	0.8677	63.73
$γ_{1}$	-0.0479	-3.28
$γ_{2}$	0.0654	3.22
$γ_{3}$	-0.0198	-2.44

Estimation Period:
Apr 14, 2003 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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