V-Lab
iShares MSCI Germany ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
13.87%
decreased by 0.13%
1 Week
14.22%
increased by 0.22%
1 Month
15.41%
increased by 1.41%
Analysis last updated: Friday, August 21, 2026 at 10:22 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 1, 1996 to Aug 21, 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 50 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1042 | 7.83*** |
α ARCH Response to squared shocks | 0.0886 | 8.82*** |
β GARCH Volatility persistence | 0.8975 | 88.95*** |
Spline Coefficients
K=1
| γ1 | 0.0003 | 1.45 |
Persistence:
0.986
Half-life:
50 days
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