V-Lab
iShares MSCI Italy Capped ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
18.56%
increased by 2.31%
1 Week
18.87%
increased by 2.62%
1 Month
20.00%
increased by 3.75%
Analysis last updated: Friday, September 18, 2026 at 10:44 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 3, 1996 to Sep 18, 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 = 7.78 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
High persistence: persistence 0.991, shock half-life ~78 daysv = 7.78 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.9950 | 2.13** |
| αARCH | 0.0916 | 11.31*** |
| βGARCH | 0.9912 | 256.78*** |
| νDF | 7.7831 | 2.18** |
0.991
Persistence78d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.9950 | 2.13** |
α ARCH Response to squared shocks | 0.0916 | 11.31*** |
β GARCH Volatility persistence | 0.9912 | 256.78*** |
ν DF Student-t tail thickness | 7.7831 | 2.18** |
Persistence:
0.991
Half-life:
78 days
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