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, September 22nd, 2025:16.06% (-0.59%)

Analysis last updated: Friday, September 19, 2025 at 10:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7352	6.27
$α$	0.1062	7.05
$β$	0.8466	44.53
$γ_{1}$	-0.0785	-1.45
$γ_{2}$	0.0463	0.53
$γ_{3}$	0.1509	2.46
$γ_{4}$	-0.2585	-5.63
$γ_{5}$	0.2003	4.74
$γ_{6}$	-0.0532	-1.17
$γ_{7}$	-0.0016	-0.03
$γ_{8}$	-0.0162	-0.47

Estimation Period:
Apr 1, 1996 to Sep 19, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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