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 30th, 2025:15.79% (-0.02%)

Analysis last updated: Friday, June 27, 2025 at 10:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3078	6.03
$α$	0.1219	7.93
$β$	0.8397	50.28
$γ_{1}$	0.0632	4.10
$γ_{2}$	-0.1168	-5.31
$γ_{3}$	0.0949	6.44
$γ_{4}$	-0.0544	-5.07

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts