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

V-Lab

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V-Lab

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

Volatility Prediction for Thursday, March 6th, 2025:18.68% (+5.55%)

Analysis last updated: Wednesday, March 5, 2025 at 10:42 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8254	5.39
$α$	0.0964	9.69
$β$	0.8719	72.36
$γ_{1}$	-0.1027	-1.62
$γ_{2}$	0.0585	0.61
$γ_{3}$	0.1608	2.77
$γ_{4}$	-0.2455	-4.73
$γ_{5}$	0.1906	3.05
$γ_{6}$	-0.0371	-0.55
$γ_{7}$	-0.0444	-0.68
$γ_{8}$	0.0203	0.46

Estimation Period:
Apr 1, 1996 to Feb 28, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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