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

V-Lab

V-Lab

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

Volatility Prediction for Monday, April 7th, 2025:38.73% (+19.98%)

Analysis last updated: Friday, April 4, 2025 at 10:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8271	5.41
$α$	0.0997	9.46
$β$	0.8679	68.47
$γ_{1}$	-0.1040	-1.67
$γ_{2}$	0.0617	0.65
$γ_{3}$	0.1572	2.74
$γ_{4}$	-0.2447	-4.86
$γ_{5}$	0.1960	3.25
$γ_{6}$	-0.0486	-0.74
$γ_{7}$	-0.0276	-0.43
$γ_{8}$	0.0043	0.10

Estimation Period:
Apr 1, 1996 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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