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 Wednesday, November 6th, 2024:12.82% (-0.31%)

Analysis last updated: Tuesday, November 5, 2024 at 11:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	81
$α$	0.0147	4.67
$β$	0.8723	324.75
$γ$	0.1377	29.12
$λ_{1}$	0.0598	6.15
$λ_{2}$	0.2857	7.31
$λ_{3}$	0.6678	14.24

Estimation Period:
Aug 27, 2001 to Nov 1, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts