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V-Lab

iShares MSCI Canada ETF GARCH Volatility Analysis

Volatility prediction for Tuesday, July 21st, 2026

1 Day

12.51%

increased by 1.51%

1 Week

12.76%

increased by 1.76%

1 Month

13.68%

increased by 2.68%

Analysis last updated: Monday, July 20, 2026 at 09:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of iShares MSCI Canada ETF 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

With persistence 0.994, volatility shocks have a half-life of 108 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

σ

GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0166
19.49***
α

ARCH

Response to squared shocks

0.0854
34.58***
β

GARCH

Volatility persistence

0.9082
400.28***

Persistence:

0.994

Half-life:

108 days