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

V-Lab

iShares MSCI Australia ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 9th, 2025:22.69% (-1.25%)

Analysis last updated: Thursday, May 8, 2025 at 09:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7255	6.16
$α$	0.1044	6.99
$β$	0.8486	44.27
$γ_{1}$	-0.0766	-1.35
$γ_{2}$	0.0366	0.40
$γ_{3}$	0.1681	2.64
$γ_{4}$	-0.2718	-5.64
$γ_{5}$	0.2041	4.52
$γ_{6}$	-0.0602	-1.22
$γ_{7}$	0.0219	0.43
$γ_{8}$	-0.0423	-1.17

Estimation Period:
Apr 1, 1996 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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