V-Lab
iShares MSCI Japan ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
22.88%
decreased by 1.24%
1 Week
22.96%
decreased by 1.16%
1 Month
23.27%
decreased by 0.85%
Analysis last updated: Friday, July 24, 2026 at 10:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 1, 1996 to Jul 24, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 228 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 = 7.25 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 | 4.4693 | 7.69*** |
α ARCH Response to squared shocks | 0.0736 | 65.92*** |
β GARCH Volatility persistence | 0.9970 | 2,609.84*** |
ν DF Student-t tail thickness | 7.2510 | 12.58*** |
Persistence:
0.997
Half-life:
228 days
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