V-Lab
iShares MSCI Hong Kong ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
17.60%
increased by 0.57%
1 Week
17.80%
increased by 0.77%
1 Month
18.54%
increased by 1.51%
Analysis last updated: Tuesday, September 8, 2026 at 10:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 1, 1996 to Sep 4, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 78 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.73 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.991, shock half-life ~78 daysv = 7.73 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.8524 | 1.59 |
| αARCH | 0.0787 | 9.11*** |
| βGARCH | 0.9912 | 177.22*** |
| νDF | 7.7287 | 1.57 |
0.991
Persistence78d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.8524 | 1.59 |
α ARCH Response to squared shocks | 0.0787 | 9.11*** |
β GARCH Volatility persistence | 0.9912 | 177.22*** |
ν DF Student-t tail thickness | 7.7287 | 1.57 |
Persistence:
0.991
Half-life:
78 days
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