V-Lab: iShares MSCI Japan ETF AGARCH Volatility Analysis

V-Lab

iShares MSCI Japan ETF AGARCH Volatility Analysis

Volatility Prediction for Friday, June 13th, 2025:15.34% (-0.68%)

Analysis last updated: Thursday, June 12, 2025 at 09:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0116	6.98
$α$	0.0905	42.41
$β$	0.8984	438.23
$γ$	0.4373	20.18

Estimation Period:
Apr 1, 1996 to Jun 6, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts