V-Lab: iShares National AMT-Free Muni Bond ETF MF2-GARCH Volatility Analysis

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V-Lab

iShares National AMT-Free Muni Bond ETF MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:3.27% (-0.08%)

Analysis last updated: Thursday, May 2, 2024 at 10:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0610	15.28
$β$	0.8980	215.82
$γ$	0.0610	18.08
$λ_{1}$	0.0544	0.98
$λ_{2}$	0.4048	1.11
$λ_{3}$	0.0000	0.00

Estimation Period:
Sep 10, 2007 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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