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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 1, 1996 to Jul 17, 2026Model 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
| Parameter | Value | t-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
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