V-Lab: iShares MSCI Canada ETF GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

iShares MSCI Canada ETF GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 5th, 2024:12.72% (-0.28%)

Analysis last updated: Monday, November 4, 2024 at 10:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0165	17.97
$α$	0.0216	11.41
$β$	0.9225	500.29
$γ$	0.0965	21.39

Estimation Period:
Apr 1, 1996 to Nov 1, 2024

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