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

V-Lab

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V-Lab

iShares MSCI Japan ETF GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 5th, 2024:17.11% (-0.69%)

Analysis last updated: Monday, November 4, 2024 at 10:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0195	18.79
$α$	0.0494	18.49
$β$	0.9078	467.93
$γ$	0.0724	12.06

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

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