iShares MSCI Emerging Markets ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
20.69%
decreased by 0.77%
1 Week
20.78%
decreased by 0.68%
1 Month
21.05%
decreased by 0.41%
Analysis last updated: Monday, October 19, 2026 at 09:38 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 14, 2003 to Oct 16, 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 23 trading days.
τ
Zero Slope Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.6492 | 6.33*** |
| αARCH | 0.1011 | 8.69*** |
| βGARCH | 0.8690 | 66.93*** |
Spline Coefficients
K=3
| γ1 | -0.0397 | -3.49*** |
| γ2 | 0.0566 | 3.49*** |
| γ3 | -0.0202 | -2.90*** |
0.970
Persistence23d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6492 | 6.33*** |
α ARCH Response to squared shocks | 0.1011 | 8.69*** |
β GARCH Volatility persistence | 0.8690 | 66.93*** |
Spline Coefficients
K=3
| γ1 | -0.0397 | -3.49*** |
| γ2 | 0.0566 | 3.49*** |
| γ3 | -0.0202 | -2.90*** |
Persistence:
0.970
Half-life:
23 days
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