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

V-Lab

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V-Lab

iShares MSCI Belgium Capped ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 5th, 2024:13.45% (-0.06%)

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
$ω$	0.9689	6.04
$α$	0.0984	8.07
$β$	0.8572	59.13
$γ_{1}$	0.0049	0.10
$γ_{2}$	-0.0977	-1.24
$γ_{3}$	0.2488	4.23
$γ_{4}$	-0.2861	-4.91
$γ_{5}$	0.1424	2.31
$γ_{6}$	0.0472	0.75
$γ_{7}$	-0.0857	-1.50
$γ_{8}$	0.0265	0.71

Estimation Period:
Apr 17, 1996 to Nov 1, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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