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, January 31st, 2025:17.85% (-0.38%)

Analysis last updated: Thursday, January 30, 2025 at 10:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0269	5.62
$α$	0.1100	7.94
$β$	0.8557	58.89
$γ_{1}$	-0.0436	-2.38
$γ_{2}$	0.0941	3.57
$γ_{3}$	-0.1077	-5.97
$γ_{4}$	0.0993	5.74
$γ_{5}$	-0.0542	-4.51

Estimation Period:
Apr 2, 1996 to Jan 24, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts