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

V-Lab

iShares MSCI EAFE ETF MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:13.68% (-0.48%)

Analysis last updated: Saturday, May 31, 2025 at 03:15 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.0254	6.23
$β$	0.8542	269.39
$γ$	0.1507	24.95
$λ_{1}$	0.0077	9.95
$λ_{2}$	0.0285	7.56
$λ_{3}$	0.9657	223.96

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts