iShares MSCI Japan ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, October 14th, 2026
1 Day
16.77%
decreased by 0.87%
1 Week
16.92%
decreased by 0.72%
1 Month
17.51%
decreased by 0.13%
Analysis last updated: Tuesday, October 13, 2026 at 10:30 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 1, 1996 to Oct 9, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 217 trading days (~0.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.35 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.997, shock half-life ~217 daysv = 7.35 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.3225 | 1.91* |
| αARCH | 0.0739 | 16.34*** |
| βGARCH | 0.9968 | 618.37*** |
| νDF | 7.3506 | 3.03*** |
0.997
Persistence217d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.3225 | 1.91* |
α ARCH Response to squared shocks | 0.0739 | 16.34*** |
β GARCH Volatility persistence | 0.9968 | 618.37*** |
ν DF Student-t tail thickness | 7.3506 | 3.03*** |
Persistence:
0.997
Half-life:
217 days
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