V-Lab: iShares MSCI EAFE ETF GJR-GARCH Volatility Analysis

V-Lab

iShares MSCI EAFE ETF GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, May 9th, 2025:17.45% (-0.77%)

Analysis last updated: Thursday, May 8, 2025 at 09:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0302	14.66
$α$	0.0361	7.88
$β$	0.8783	295.62
$γ$	0.1339	15.72

Estimation Period:
Aug 27, 2001 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts