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 23rd, 2025:17.55% (+0.62%)

Analysis last updated: Friday, June 20, 2025 at 10:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7327	6.30
$α$	0.1067	7.05
$β$	0.8446	43.50
$γ_{1}$	-0.0759	-1.38
$γ_{2}$	0.0386	0.43
$γ_{3}$	0.1621	2.61
$γ_{4}$	-0.2673	-5.70
$γ_{5}$	0.2032	4.65
$γ_{6}$	-0.0586	-1.23
$γ_{7}$	0.0150	0.30
$γ_{8}$	-0.0341	-0.96

Estimation Period:
Apr 1, 1996 to Jun 20, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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