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 23rd, 2025:12.53% (-0.52%)

Analysis last updated: Thursday, May 22, 2025 at 09:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0313	15.01
$α$	0.0369	7.93
$β$	0.8752	293.11
$γ$	0.1369	15.86

Estimation Period:
Aug 27, 2001 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts