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

V-Lab

iShares MSCI Canada ETF GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:12.90% (-0.34%)

Analysis last updated: Saturday, May 31, 2025 at 03:13 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0185	18.69
$α$	0.0215	11.28
$β$	0.9184	491.36
$γ$	0.1030	22.08

Estimation Period:
Apr 1, 1996 to May 30, 2025

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Volatility Forecasts

Volatility Forecasts