V-Lab
iShares MSCI Emerging Markets ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
18.35%
decreased by 1.02%
1 Week
18.57%
decreased by 0.80%
1 Month
19.34%
decreased by 0.03%
Analysis last updated: Tuesday, September 8, 2026 at 10:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 14, 2003 to Sep 4, 2026Model Insight
Volatility shocks decay with a half-life of 40 trading days, meaning a shock loses half its impact after approximately 40 days. Returns follow a Student-t distribution with v = 10.45 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
Shock decay: Shocks decay with a 40-day half-lifev = 10.45 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.3068 | 2.87*** |
| αARCH | 0.0898 | 7.10*** |
| βGARCH | 0.9830 | 161.20*** |
| νDF | 10.4505 | 0.93 |
0.983
Persistence40d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.3068 | 2.87*** |
α ARCH Response to squared shocks | 0.0898 | 7.10*** |
β GARCH Volatility persistence | 0.9830 | 161.20*** |
ν DF Student-t tail thickness | 10.4505 | 0.93 |
Persistence:
0.983
Half-life:
40 days
Other iShares MSCI Emerging Markets ETF Analyses
Other GAS-GARCH Student T Analyses on ETFs