V-Lab: iShares MSCI Singapore Capped ETF MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

iShares MSCI Singapore Capped ETF MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, November 22nd, 2024:12.55% (-0.27%)

Analysis last updated: Thursday, November 21, 2024 at 10:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0113	5.11
$β$	0.8911	285.78
$γ$	0.1137	30.30
$λ_{1}$	0.1383	7.41
$λ_{2}$	0.7747	21.73
$λ_{3}$	0.1693	4.09

Estimation Period:
Apr 1, 1996 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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