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V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of iShares MSCI BIC ETF Fund AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Nov 19, 2007 to Jul 10, 2026

Model 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

ParameterValuet-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