V-Lab: iShares MSCI Japan ETF EGARCH Volatility Analysis

V-Lab

iShares MSCI Japan ETF EGARCH Volatility Analysis

Volatility Prediction for Friday, June 13th, 2025:15.24% (-0.34%)

Analysis last updated: Thursday, June 12, 2025 at 09:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0143	8.55
$α$	0.1708	40.95
$β$	0.9828	1,005.92
$γ$	-0.0671	-17.11

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts