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 Wednesday, July 30th, 2025:16.24% (-0.26%)

Analysis last updated: Tuesday, July 29, 2025 at 09:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7327	6.29
$α$	0.1065	7.05
$β$	0.8453	43.87
$γ_{1}$	-0.0769	-1.41
$γ_{2}$	0.0415	0.47
$γ_{3}$	0.1580	2.56
$γ_{4}$	-0.2641	-5.68
$γ_{5}$	0.2022	4.69
$γ_{6}$	-0.0566	-1.21
$γ_{7}$	0.0091	0.19
$γ_{8}$	-0.0278	-0.79

Estimation Period:
Apr 1, 1996 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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