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 2nd, 2025:13.52% (-0.14%)

Analysis last updated: Saturday, May 31, 2025 at 03:14 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8169	5.60
$α$	0.1075	9.60
$β$	0.8557	64.02
$γ_{1}$	-0.1085	-1.84
$γ_{2}$	0.0706	0.79
$γ_{3}$	0.1491	2.75
$γ_{4}$	-0.2405	-5.21
$γ_{5}$	0.1979	3.61
$γ_{6}$	-0.0524	-0.87
$γ_{7}$	-0.0296	-0.49
$γ_{8}$	0.0103	0.24

Estimation Period:
Apr 1, 1996 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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