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 Monday, June 30th, 2025:18.88% (+0.52%)

Analysis last updated: Friday, June 27, 2025 at 10:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7325	6.30
$α$	0.1067	7.05
$β$	0.8447	43.58
$γ_{1}$	-0.0762	-1.39
$γ_{2}$	0.0395	0.45
$γ_{3}$	0.1608	2.60
$γ_{4}$	-0.2664	-5.71
$γ_{5}$	0.2032	4.67
$γ_{6}$	-0.0584	-1.24
$γ_{7}$	0.0140	0.29
$γ_{8}$	-0.0332	-0.94

Estimation Period:
Apr 1, 1996 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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