iShares MSCI Japan ETF GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 14th, 2026
1 Day
15.98%
decreased by 0.61%
1 Week
16.19%
decreased by 0.40%
1 Month
16.97%
increased by 0.38%
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 0.992, volatility shocks have a half-life of 88 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 161% more than positive returns
σ
GJR-GARCH Model
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High persistence: persistence 0.992, shock half-life ~88 daysLeverage: Negative returns increase volatility 161% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0215 | 5.04*** |
| αARCH | 0.0463 | 4.62*** |
| βGARCH | 0.9085 | 118.04*** |
| γleverage | 0.0747 | 3.25*** |
0.992
Persistence88d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0215 | 5.04*** |
α ARCH Response to squared shocks | 0.0463 | 4.62*** |
β GARCH Volatility persistence | 0.9085 | 118.04*** |
γ leverage Additional response to negative shocks | 0.0747 | 3.25*** |
Persistence:
0.992
Half-life:
88 days
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