V-Lab: iShares MSCI Taiwan Capped ETF MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

iShares MSCI Taiwan Capped ETF MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 24th, 2024:20.27% (-0.21%)

Analysis last updated: Monday, December 23, 2024 at 10:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.0263	8.07
$β$	0.8183	120.36
$γ$	0.1278	25.39
$λ_{1}$	0.0085	4.56
$λ_{2}$	0.0378	5.40
$λ_{3}$	0.9588	126.72

Estimation Period:
Jun 23, 2000 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other iShares MSCI Taiwan Capped ETF Analyses
GARCH
GJR-GARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T