V-Lab
iShares MSCI Germany ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, August 11th, 2026
1 Day
17.54%
decreased by 0.78%
1 Week
17.70%
decreased by 0.62%
1 Month
18.26%
decreased by 0.06%
Analysis last updated: Monday, August 10, 2026 at 09:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 1, 1996 to Aug 7, 2026Model Insight
Volatility shocks decay with a half-life of 62 trading days, meaning a shock loses half its impact after approximately 62 days. Returns follow a Student-t distribution with v = 7.74 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.2114 | 8.34*** |
α ARCH Response to squared shocks | 0.0753 | 35.55*** |
β GARCH Volatility persistence | 0.9889 | 718.15*** |
ν DF Student-t tail thickness | 7.7398 | 6.54*** |
Persistence:
0.989
Half-life:
62 days
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