V-Lab: iShares MSCI Japan ETF MF2-GARCH Volatility Analysis

V-Lab

iShares MSCI Japan ETF MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 9th, 2025:41.38% (-3.01%)

Analysis last updated: Tuesday, April 8, 2025 at 09:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0471	15.67
$β$	0.8458	173.71
$γ$	0.1002	18.75
$λ_{1}$	0.0050	8.98
$λ_{2}$	0.0299	8.04
$λ_{3}$	0.9675	243.45

Estimation Period:
Apr 1, 1996 to Apr 4, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts