V-Lab
iShares Euro High Yield Corporate Bond USD Hedged ETF EGARCH Volatility Analysis
Volatility prediction for Wednesday, September 16th, 2026
1 Day
4.59%
decreased by 0.19%
1 Week
4.67%
decreased by 0.11%
1 Month
4.97%
increased by 0.19%
Analysis last updated: Wednesday, September 16, 2026 at 02:21 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 3, 2012 to Sep 11, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 105 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 172% more than positive returns
σ
EGARCH Model
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High persistence: persistence 0.993, shock half-life ~105 daysLeverage: Negative returns increase volatility 172% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | -0.0002 | -0.05 |
| αARCH | 0.1211 | 3.54*** |
| βGARCH | 0.9934 | 133.27*** |
| γleverage | -0.0560 | -3.17*** |
0.993
Persistence105d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | -0.0002 | -0.05 |
α ARCH Response to squared shocks | 0.1211 | 3.54*** |
β GARCH Volatility persistence | 0.9934 | 133.27*** |
γ leverage Additional response to negative shocks | -0.0560 | -3.17*** |
Persistence:
0.993
Half-life:
105 days
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