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 30th, 2025:9.73% (-8.41%)

Analysis last updated: Friday, June 27, 2025 at 10:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	81
$α$	1.0000	9,999,900.00
$β$	0.0002	2,090.00
$γ$	-0.0004	-3,990.00
$λ_{1}$	1.0026	9.03
$λ_{2}$	0.1369	12.46
$λ_{3}$	0.1054	1.46

Estimation Period:
Aug 27, 2001 to Jun 27, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts