V-Lab: iShares MSCI EAFE ETF MF2-GARCH Volatility Analysis

V-Lab

iShares MSCI EAFE ETF MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 9th, 2025:16.68% (-0.52%)

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
$m$	86
$α$	0.0143	4.14
$β$	0.8627	283.42
$γ$	0.1427	27.50
$λ_{1}$	0.2263	10.89
$λ_{2}$	0.8261	38.09
$λ_{3}$	0.0000	0.00

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts