iShares MSCI Canada ETF Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
13.32%
increased by 1.50%
1 Week
13.69%
increased by 1.87%
1 Month
14.97%
increased by 3.15%
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
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 41 trading days.
τ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2646 | 6.82*** |
α ARCH Response to squared shocks | 0.0889 | 7.85*** |
β GARCH Volatility persistence | 0.8944 | 81.42*** |
Spline Coefficients
K=2
| γ1 | -0.0033 | -1.58 |
| γ2 | 0.0101 | 2.39** |
Persistence:
0.983
Half-life:
41 days
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