V-Lab: iShares China Large-Cap ETF Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

iShares China Large-Cap ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 5th, 2024:33.94% (-1.49%)

Analysis last updated: Monday, November 4, 2024 at 10:42 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6329	5.69
$α$	0.0902	5.93
$β$	0.8867	53.44
$γ_{1}$	-0.0583	-4.01
$γ_{2}$	0.0922	4.15
$γ_{3}$	-0.0465	-3.84

Estimation Period:
Oct 8, 2004 to Nov 1, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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