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 Tuesday, December 24th, 2024:18.33% (-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
$m$	61
$α$	0.0360	8.92
$β$	0.8667	252.08
$γ$	0.1169	22.00
$λ_{1}$	0.0049	8.27
$λ_{2}$	0.0164	6.68
$λ_{3}$	0.9811	351.28

Estimation Period:
Apr 2, 1996 to Dec 20, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts