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

V-Lab

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V-Lab

iShares MSCI France ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, November 22nd, 2024:17.60% (-0.67%)

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
$ω$	1.0238	5.59
$α$	0.1102	7.94
$β$	0.8557	58.82
$γ_{1}$	-0.0450	-2.42
$γ_{2}$	0.0971	3.63
$γ_{3}$	-0.1105	-6.02
$γ_{4}$	0.1010	5.76
$γ_{5}$	-0.0545	-4.48

Estimation Period:
Apr 2, 1996 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts