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V-Lab

iShares MSCI Sweden Capped ETF GJR-GARCH Volatility Analysis

Volatility prediction for Monday, August 24th, 2026

1 Day

15.93%

increased by 0.11%

1 Week

16.34%

increased by 0.52%

1 Month

17.80%

increased by 1.98%

Analysis last updated: Friday, August 21, 2026 at 10:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of iShares MSCI Sweden Capped ETF GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Apr 9, 1996 to Aug 21, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 323% more than equivalent positive returns.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0394
14.96***
α

ARCH

Response to squared shocks

0.0278
11.93***
β

GARCH

Volatility persistence

0.9150
474.11***
γ

leverage

Additional response to negative shocks

0.0898
17.30***

Persistence:

0.988

Half-life:

56 days