iShares MSCI Italy Capped ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
19.04%
decreased by 0.60%
1 Week
19.33%
decreased by 0.31%
1 Month
20.41%
increased by 0.77%
Analysis last updated: Thursday, October 15, 2026 at 09:59 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 9, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 77 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
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High persistence: persistence 0.991, shock half-life ~77 daysv = 7.78 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.9771 | 2.15** |
| αARCH | 0.0915 | 11.29*** |
| βGARCH | 0.9911 | 255.89*** |
| νDF | 7.7826 | 2.17** |
0.991
Persistence77d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.9771 | 2.15** |
α ARCH Response to squared shocks | 0.0915 | 11.29*** |
β GARCH Volatility persistence | 0.9911 | 255.89*** |
ν DF Student-t tail thickness | 7.7826 | 2.17** |
Persistence:
0.991
Half-life:
77 days
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