V-Lab
iShares MSCI Hong Kong ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, August 18th, 2026
1 Day
15.06%
decreased by 0.46%
1 Week
15.35%
decreased by 0.17%
1 Month
16.38%
increased by 0.86%
Analysis last updated: Monday, August 17, 2026 at 09:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 1, 1996 to Aug 14, 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 = 7.72 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 | 2.8607 | 6.34*** |
α ARCH Response to squared shocks | 0.0791 | 36.47*** |
β GARCH Volatility persistence | 0.9912 | 707.46*** |
ν DF Student-t tail thickness | 7.7249 | 6.30*** |
Persistence:
0.991
Half-life:
78 days
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