iShares MSCI BIC ETF Fund EGARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
16.80%
decreased by 0.93%
1 Week
17.06%
decreased by 0.67%
1 Month
18.01%
increased by 0.28%
Analysis last updated: Tuesday, July 21, 2026 at 09:37 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 19, 2007 to Jul 17, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 138% more than equivalent positive returns.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0173 | 7.25*** |
α ARCH Response to squared shocks | 0.1629 | 30.63*** |
β GARCH Volatility persistence | 0.9819 | 823.74*** |
γ leverage Additional response to negative shocks | -0.0664 | -13.85*** |
Persistence:
0.982
Half-life:
38 days
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