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

V-Lab

| |

V-Lab

iShares MSCI EAFE ETF MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 24th, 2024:18.49% (-0.92%)

Analysis last updated: Monday, December 23, 2024 at 10:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	81
$α$	0.0148	4.69
$β$	0.8713	323.07
$γ$	0.1383	29.12
$λ_{1}$	0.0601	6.07
$λ_{2}$	0.2869	7.20
$λ_{3}$	0.6662	13.92

Estimation Period:
Aug 27, 2001 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts