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V-Lab

iShares MSCI BIC ETF Fund MF2-GARCH Volatility Analysis

Volatility prediction for Friday, September 11th, 2026

1 Day

14.97%

increased by 0.20%

1 Week

15.16%

increased by 0.39%

1 Month

15.47%

increased by 0.70%

Analysis last updated: Friday, September 11, 2026 at 02:21 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of iShares MSCI BIC ETF Fund MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Nov 19, 2007 to Sep 4, 2026

Model Insight

This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.

σ

MF2-GARCH Model

Tap to view equation

Leverage: volatility responds almost entirely to negative shocks
ParamValuet-stat
mwindow46
αARCH0.0139
0.94
βGARCH0.8218
33.86***
γleverage0.1161
5.55***
λ₁tau intercept0.2357
1.76*
λ₂forecast adj.0.4097
2.24**
λ₃tau persistence0.4635
1.91*

0.894

Persistence

6d

Half-life
σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

46
α

ARCH

Response to squared shocks

0.0139
0.94
β

GARCH

Volatility persistence

0.8218
33.86***
γ

leverage

Additional response to negative shocks

0.1161
5.55***
λ₁

tau intercept

Baseline long-term coefficient

0.2357
1.76*
λ₂

forecast adj.

Forecast performance sensitivity

0.4097
2.24**
λ₃

tau persistence

Long-term factor persistence

0.4635
1.91*

Persistence:

0.894

Half-life:

6 days