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

V-Lab

| |

V-Lab

iShares MSCI Australia ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, March 6th, 2025:19.19% (+2.31%)

Analysis last updated: Wednesday, March 5, 2025 at 10:42 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7394	6.15
$α$	0.0976	7.13
$β$	0.8589	49.02
$γ_{1}$	-0.0682	-1.15
$γ_{2}$	0.0222	0.23
$γ_{3}$	0.1782	2.65
$γ_{4}$	-0.2758	-5.44
$γ_{5}$	0.2004	4.21
$γ_{6}$	-0.0526	-1.02
$γ_{7}$	0.0116	0.23
$γ_{8}$	-0.0314	-0.89

Estimation Period:
Apr 1, 1996 to Feb 28, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other iShares MSCI Australia ETF Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
GAS-GARCH Student T
MF2-GARCH