V-Lab: iShares MSCI Brazil Capped ETF GJR-GARCH Volatility Analysis

V-Lab

iShares MSCI Brazil Capped ETF GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 18th, 2022:28.51% (-0.77%)

Analysis last updated: Friday, January 14, 2022, 11:17 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.1097	11.25
$α$	0.0237	8.65
$β$	0.9075	243.42
$γ$	0.0957	12.17

Estimation Period:
Jul 14, 2000 to Jan 14, 2022

News Impact Curve

Volatility Forecasts

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GAS-GARCH Student T
MF2-GARCH

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