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

V-Lab

iShares MSCI Australia ETF MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 16th, 2025:17.80% (+1.76%)

Analysis last updated: Friday, June 13, 2025 at 10:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0028	0.79
$β$	0.7838	87.57
$γ$	0.1819	25.08
$λ_{1}$	0.0144	3.81
$λ_{2}$	0.0452	5.12
$λ_{3}$	0.9485	93.84

Estimation Period:
Apr 1, 1996 to Jun 13, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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