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

V-Lab

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V-Lab

iShares MSCI France ETF MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 6th, 2024:15.39% (-0.19%)

Analysis last updated: Tuesday, November 5, 2024 at 11:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0355	8.80
$β$	0.8672	254.09
$γ$	0.1180	22.16
$λ_{1}$	0.0047	8.33
$λ_{2}$	0.0161	6.79
$λ_{3}$	0.9816	365.31

Estimation Period:
Apr 2, 1996 to Nov 1, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts