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, November 5th, 2024:15.25% (-0.66%)

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
$ω$	1.0232	5.57
$α$	0.1101	7.92
$β$	0.8559	58.83
$γ_{1}$	-0.0453	-2.43
$γ_{2}$	0.0976	3.64
$γ_{3}$	-0.1108	-6.00
$γ_{4}$	0.1005	5.71
$γ_{5}$	-0.0536	-4.38

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts