V-Lab: iShares MSCI Singapore Capped ETF Zero Slope Spline-GARCH Volatility Analysis

V-Lab

iShares MSCI Singapore Capped ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 23rd, 2025:14.29% (+0.89%)

Analysis last updated: Friday, June 20, 2025 at 10:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8175	5.61
$α$	0.1076	9.60
$β$	0.8555	63.92
$γ_{1}$	-0.1081	-1.84
$γ_{2}$	0.0706	0.79
$γ_{3}$	0.1482	2.74
$γ_{4}$	-0.2394	-5.23
$γ_{5}$	0.1975	3.64
$γ_{6}$	-0.0523	-0.88
$γ_{7}$	-0.0309	-0.52
$γ_{8}$	0.0123	0.29

Estimation Period:
Apr 1, 1996 to Jun 20, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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