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 Friday, November 22nd, 2024:35.76% (-1.60%)

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
$ω$	0.6371	5.61
$α$	0.0890	5.95
$β$	0.8888	54.62
$γ_{1}$	-0.0578	-3.96
$γ_{2}$	0.0918	4.11
$γ_{3}$	-0.0468	-3.84

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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