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

V-Lab

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V-Lab

iShares MSCI Japan ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 24th, 2024:17.89% (-0.90%)

Analysis last updated: Monday, December 23, 2024 at 10:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7553	11.45
$α$	0.0989	8.89
$β$	0.8737	70.92
$γ_{1}$	0.0018	8.67

Estimation Period:
Apr 1, 1996 to Dec 20, 2024

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Volatility Forecasts

Volatility Forecasts