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

V-Lab

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V-Lab

iShares MSCI Germany ETF GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 24th, 2024:16.46% (+0.29%)

Analysis last updated: Tuesday, April 23, 2024 at 10:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0328	15.55
$α$	0.0315	9.59
$β$	0.9066	396.06
$γ$	0.0977	16.31

Estimation Period:
Apr 1, 1996 to Apr 19, 2024

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Volatility Forecasts