iShares MSCI Italy Capped ETF Asy. MEM Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
20.81%
increased by 0.52%
1 Week
21.07%
increased by 0.78%
1 Month
22.06%
increased by 1.77%
Analysis last updated: Thursday, October 8, 2026 at 09:45 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 3, 1996 to Oct 2, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 88 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 109% more than positive returns
μ
AMEM Model
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High persistence: persistence 0.992, shock half-life ~88 daysLeverage: Negative returns increase volatility 109% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0360 | 5.12*** |
| αARCH | 0.0914 | 7.86*** |
| βGARCH | 0.8511 | 89.71*** |
| γleverage | 0.0994 | 3.68*** |
0.992
Persistence88d
Half-lifeμ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0360 | 5.12*** |
α ARCH Response to squared shocks | 0.0914 | 7.86*** |
β GARCH Volatility persistence | 0.8511 | 89.71*** |
γ leverage Additional response to negative shocks | 0.0994 | 3.68*** |
Persistence:
0.992
Half-life:
88 days
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