V-Lab
iShares MSCI Sweden Capped ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, September 23rd, 2026
1 Day
18.16%
decreased by 0.17%
1 Week
18.39%
increased by 0.06%
1 Month
19.27%
increased by 0.94%
Analysis last updated: Tuesday, September 22, 2026 at 09:39 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 9, 1996 to Sep 18, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 114 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 9.00 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
High persistence: persistence 0.994, shock half-life ~114 daysv = 9.00 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.1214 | 1.72* |
| αARCH | 0.0736 | 10.24*** |
| βGARCH | 0.9939 | 281.32*** |
| νDF | 8.9998 | 1.48 |
0.994
Persistence114d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.1214 | 1.72* |
α ARCH Response to squared shocks | 0.0736 | 10.24*** |
β GARCH Volatility persistence | 0.9939 | 281.32*** |
ν DF Student-t tail thickness | 8.9998 | 1.48 |
Persistence:
0.994
Half-life:
114 days
Other iShares MSCI Sweden Capped ETF Analyses
Other GAS-GARCH Student T Analyses on ETFs