V-Lab: iShares MSCI EAFE ETF EGARCH Volatility Analysis

V-Lab

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V-Lab

iShares MSCI EAFE ETF EGARCH Volatility Analysis

Volatility Prediction for Tuesday, November 5th, 2024:14.29% (-0.87%)

Analysis last updated: Monday, November 4, 2024 at 10:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0092	4.80
$α$	0.1685	28.59
$β$	0.9788	814.35
$γ$	-0.1019	-24.11

Estimation Period:
Aug 27, 2001 to Nov 1, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts