V-Lab: iShares China Large-Cap ETF MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

iShares China Large-Cap ETF MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, November 22nd, 2024:37.80% (-1.46%)

Analysis last updated: Thursday, November 21, 2024 at 10:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0413	8.53
$β$	0.8547	153.09
$γ$	0.0791	12.92
$λ_{1}$	0.3443	0.95
$λ_{2}$	0.6006	0.98
$λ_{3}$	0.3098	0.44

Estimation Period:
Oct 8, 2004 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other iShares China Large-Cap ETF Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T