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 Monday, June 2nd, 2025:14.15% (-0.70%)

Analysis last updated: Saturday, May 31, 2025 at 03:14 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3110	6.04
$α$	0.1219	7.91
$β$	0.8396	50.14
$γ_{1}$	0.0644	4.16
$γ_{2}$	-0.1189	-5.38
$γ_{3}$	0.0962	6.46
$γ_{4}$	-0.0550	-5.05

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts