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

V-Lab

iShares MSCI Japan ETF GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, May 23rd, 2025:17.33% (-0.72%)

Analysis last updated: Thursday, May 22, 2025 at 09:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0210	19.28
$α$	0.0488	18.26
$β$	0.9054	457.97
$γ$	0.0771	12.56

Estimation Period:
Apr 1, 1996 to May 16, 2025

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Volatility Forecasts

Volatility Forecasts