iShares MSCI Canada ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
15.32%
1 Week
15.45%
1 Month
15.94%
Analysis last updated: Friday, October 23, 2026 at 10:49 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 1, 1996 to Oct 23, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 103 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 10.56 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 2.1297 | 1.60 |
| αscore | 0.0784 | 9.36*** |
| βpersistence | 0.9933 | 226.10*** |
| νDF | 10.5608 | 1.02 |
0.993
Persistence103d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 2.1297 | 1.60 |
α score Weight on the scaled score | 0.0784 | 9.36*** |
β persistence Volatility persistence | 0.9933 | 226.10*** |
ν DF Student-t tail thickness | 10.5608 | 1.02 |
Persistence:
0.993
Half-life:
103 days
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