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V-Lab

iShares MSCI Sweden Capped ETF GJR-GARCH Volatility Analysis

Volatility prediction for Tuesday, August 11th, 2026

1 Day

16.43%

decreased by 0.33%

1 Week

16.82%

increased by 0.06%

1 Month

18.21%

increased by 1.45%

Analysis last updated: Monday, August 10, 2026 at 09:39 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 7, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 322% more than equivalent positive returns.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0395
15.00***
α

ARCH

Response to squared shocks

0.0278
11.94***
β

GARCH

Volatility persistence

0.9151
474.15***
γ

leverage

Additional response to negative shocks

0.0896
17.26***

Persistence:

0.988

Half-life:

56 days