iShares MSCI BIC ETF Fund Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
17.28%
increased by 0.24%
1 Week
17.68%
increased by 0.64%
1 Month
18.96%
increased by 1.92%
Analysis last updated: Monday, July 20, 2026 at 09:36 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 model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 26 trading days.
τ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3050 | 7.83*** |
α ARCH Response to squared shocks | 0.0956 | 7.19*** |
β GARCH Volatility persistence | 0.8777 | 58.02*** |
Spline Coefficients
K=1
| γ1 | 0.0051 | 2.27** |
Persistence:
0.973
Half-life:
26 days
Other iShares MSCI BIC ETF Fund Analyses
Other Spline-GARCH Analyses on ETFs