iShares MSCI BIC ETF Fund AGARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
16.58%
decreased by 0.78%
1 Week
17.08%
decreased by 0.28%
1 Month
18.65%
increased by 1.29%
Analysis last updated: Thursday, July 16, 2026 at 02:21 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 19, 2007 to Jul 10, 2026Model Insight
The news-impact curve is shifted (γ = 0.57) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0352 | 9.76*** |
α ARCH Response to squared shocks | 0.0893 | 35.48*** |
β GARCH Volatility persistence | 0.8829 | 324.35*** |
γ leverage Additional response to negative shocks | 0.5741 | 18.56*** |
Persistence:
0.972
Half-life:
25 days
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