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

V-Lab

iShares MSCI Australia ETF Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 23rd, 2025:16.07% (+0.69%)

Analysis last updated: Friday, June 20, 2025 at 10:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7216	6.28
$α$	0.1079	6.73
$β$	0.8418	41.97
$γ_{1}$	-0.0798	-1.47
$γ_{2}$	0.0429	0.49
$γ_{3}$	0.1642	2.69
$γ_{4}$	-0.2744	-5.95
$γ_{5}$	0.2151	4.94
$γ_{6}$	-0.0773	-1.57
$γ_{7}$	0.0476	0.81
$γ_{8}$	-0.1081	-1.16

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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