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 Tuesday, December 24th, 2024:17.16% (-0.78%)

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
$ω$	1.0256	5.61
$α$	0.1101	7.94
$β$	0.8556	58.84
$γ_{1}$	-0.0441	-2.40
$γ_{2}$	0.0950	3.59
$γ_{3}$	-0.1085	-5.97
$γ_{4}$	0.0994	5.72
$γ_{5}$	-0.0538	-4.45

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts