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 Monday, November 25th, 2024:12.28% (-0.33%)

Analysis last updated: Friday, November 22, 2024 at 11:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0166	18.01
$α$	0.0214	11.36
$β$	0.9226	500.57
$γ$	0.0966	21.43

Estimation Period:
Apr 1, 1996 to Nov 22, 2024

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