V-Lab
iShares MSCI Australia ETF GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
16.50%
decreased by 0.37%
1 Week
16.79%
decreased by 0.08%
1 Month
17.78%
increased by 0.91%
Analysis last updated: Friday, July 24, 2026 at 10:20 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 1, 1996 to Jul 24, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0382 | 17.58*** |
α ARCH Response to squared shocks | 0.0199 | 10.00*** |
β GARCH Volatility persistence | 0.9111 | 470.86*** |
γ leverage Additional response to negative shocks | 0.1034 | 19.21*** |
Persistence:
0.983
Half-life:
40 days
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