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

V-Lab

iShares MSCI EAFE ETF GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:13.09% (-0.57%)

Analysis last updated: Saturday, May 31, 2025 at 03:12 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0313	15.03
$α$	0.0368	7.92
$β$	0.8752	294.50
$γ$	0.1369	15.87

Estimation Period:
Aug 27, 2001 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts