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 Friday, November 22nd, 2024:12.88% (-0.51%)

Analysis last updated: Thursday, November 21, 2024 at 10:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7623	11.48
$α$	0.0995	8.89
$β$	0.8728	70.39
$γ_{1}$	0.0018	8.76

Estimation Period:
Apr 1, 1996 to Nov 15, 2024

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Volatility Forecasts

Volatility Forecasts