V-Lab: iShares MSCI Japan ETF Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

iShares MSCI Japan ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 5th, 2024:14.14% (-0.70%)

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
$ω$	1.7628	11.48
$α$	0.0998	8.90
$β$	0.8725	70.18
$γ_{1}$	0.0018	8.79

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts