iShares MSCI Belgium Capped ETF AGARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
17.50%
decreased by 0.45%
1 Week
17.75%
decreased by 0.20%
1 Month
18.62%
increased by 0.67%
Analysis last updated: Friday, October 16, 2026 at 10:40 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 17, 1996 to Oct 16, 2026Model Insight
The news-impact curve is shifted (γ = 0.54) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
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Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0136 | 1.59 |
| αARCH | 0.0839 | 9.43*** |
| βGARCH | 0.8990 | 94.10*** |
| γleverage | 0.5449 | 5.93*** |
0.983
Persistence40d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0136 | 1.59 |
α ARCH Response to squared shocks | 0.0839 | 9.43*** |
β GARCH Volatility persistence | 0.8990 | 94.10*** |
γ leverage Additional response to negative shocks | 0.5449 | 5.93*** |
Persistence:
0.983
Half-life:
40 days
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