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 Wednesday, July 30th, 2025:17.07% (-1.03%)

Analysis last updated: Tuesday, July 29, 2025 at 09:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3031	6.02
$α$	0.1212	7.92
$β$	0.8404	50.49
$γ_{1}$	0.0621	4.05
$γ_{2}$	-0.1151	-5.27
$γ_{3}$	0.0940	6.43
$γ_{4}$	-0.0543	-5.11

Estimation Period:
Aug 27, 2001 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts