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 Wednesday, November 6th, 2024:13.33% (-0.20%)

Analysis last updated: Tuesday, November 5, 2024 at 11:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	86
$α$	0.0151	6.88
$β$	0.8940	293.89
$γ$	0.1106	29.48
$λ_{1}$	0.1245	5.32
$λ_{2}$	0.6688	7.09
$λ_{3}$	0.2788	2.66

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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