V-Lab
iShares MSCI BIC ETF Fund MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, September 23rd, 2026
1 Day
14.44%
decreased by 0.47%
1 Week
14.70%
decreased by 0.21%
1 Month
15.46%
increased by 0.55%
Analysis last updated: Wednesday, September 23, 2026 at 02:20 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 19, 2007 to Sep 18, 2026Model 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
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Leverage: volatility responds almost entirely to negative shocks
| Param | Value | t-stat |
|---|---|---|
| mwindow | 46 | |
| αARCH | 0.0137 | 0.93 |
| βGARCH | 0.8222 | 33.87*** |
| γleverage | 0.1157 | 5.55*** |
| λ₁tau intercept | 0.2405 | 1.78* |
| λ₂forecast adj. | 0.4171 | 2.26** |
| λ₃tau persistence | 0.4534 | 1.85* |
0.894
Persistence6d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 46 | |
α ARCH Response to squared shocks | 0.0137 | 0.93 |
β GARCH Volatility persistence | 0.8222 | 33.87*** |
γ leverage Additional response to negative shocks | 0.1157 | 5.55*** |
λ₁ tau intercept Baseline long-term coefficient | 0.2405 | 1.78* |
λ₂ forecast adj. Forecast performance sensitivity | 0.4171 | 2.26** |
λ₃ tau persistence Long-term factor persistence | 0.4534 | 1.85* |
Persistence:
0.894
Half-life:
6 days
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