iShares MSCI Italy Capped ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
14.50%
decreased by 0.26%
1 Week
14.97%
increased by 0.21%
1 Month
16.62%
increased by 1.86%
Analysis last updated: Monday, July 20, 2026 at 09:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 3, 1996 to Jul 17, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 80 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 = 7.83 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 | 4.0324 | 8.55*** |
α ARCH Response to squared shocks | 0.0910 | 45.47*** |
β GARCH Volatility persistence | 0.9913 | 1,055.73*** |
ν DF Student-t tail thickness | 7.8325 | 8.57*** |
Persistence:
0.991
Half-life:
80 days
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