iShares MSCI EAFE ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
12.93%
decreased by 0.30%
1 Week
13.17%
decreased by 0.06%
1 Month
14.03%
increased by 0.80%
Analysis last updated: Friday, October 23, 2026 at 10:47 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 27, 2001 to Oct 23, 2026Model Insight
Volatility shocks decay with a half-life of 61 trading days, meaning a shock loses half its impact after approximately 61 days. Returns follow a Student-t distribution with v = 7.64 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 61-day half-lifev = 7.64 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 1.7915 | 1.62 |
| αscore | 0.0946 | 8.78*** |
| βpersistence | 0.9887 | 138.80*** |
| νDF | 7.6379 | 1.66* |
0.989
Persistence61d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 1.7915 | 1.62 |
α score Weight on the scaled score | 0.0946 | 8.78*** |
β persistence Volatility persistence | 0.9887 | 138.80*** |
ν DF Student-t tail thickness | 7.6379 | 1.66* |
Persistence:
0.989
Half-life:
61 days
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