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

V-Lab

iShares MSCI Japan ETF GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:19.02% (-0.82%)

Analysis last updated: Saturday, May 31, 2025 at 03:14 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0209	19.27
$α$	0.0486	18.24
$β$	0.9058	461.70
$γ$	0.0767	12.55

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

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Volatility Forecasts

Volatility Forecasts