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

V-Lab

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V-Lab

iShares MSCI EAFE ETF MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, November 22nd, 2024:14.57% (-0.62%)

Analysis last updated: Thursday, November 21, 2024 at 10:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	81
$α$	0.0146	4.64
$β$	0.8725	325.79
$γ$	0.1376	29.14
$λ_{1}$	0.0602	6.10
$λ_{2}$	0.2861	7.23
$λ_{3}$	0.6672	14.06

Estimation Period:
Aug 27, 2001 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts