V-Lab: iShares MSCI EAFE ETF Zero Slope Spline-GARCH Volatility Analysis

V-Lab

iShares MSCI EAFE ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 20th, 2025:15.23% (-0.83%)

Analysis last updated: Wednesday, June 18, 2025 at 10:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3092	6.03
$α$	0.1219	7.92
$β$	0.8397	50.21
$γ_{1}$	0.0637	4.12
$γ_{2}$	-0.1177	-5.34
$γ_{3}$	0.0954	6.45
$γ_{4}$	-0.0546	-5.06

Estimation Period:
Aug 27, 2001 to Jun 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts