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V-Lab

iShares MSCI Australia ETF GJR-GARCH Volatility Analysis

Volatility prediction for Monday, July 20th, 2026

1 Day

16.22%

decreased by 0.42%

1 Week

16.52%

decreased by 0.12%

1 Month

17.56%

increased by 0.92%

Analysis last updated: Friday, July 17, 2026 at 10:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of iShares MSCI Australia ETF GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Apr 1, 1996 to Jul 17, 2026

Model 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

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0382
17.57***
α

ARCH

Response to squared shocks

0.0198
9.95***
β

GARCH

Volatility persistence

0.9112
471.17***
γ

leverage

Additional response to negative shocks

0.1033
19.23***

Persistence:

0.983

Half-life:

40 days