iShares MSCI Belgium Capped ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, November 10th, 2026
1 Day
21.17%
increased by 3.86%
1 Week
20.85%
increased by 3.54%
1 Month
19.90%
increased by 2.59%
Analysis last updated: Monday, November 9, 2026 at 10:37 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 Nov 6, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 14 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9424 | 6.23*** |
| αARCH | 0.0969 | 8.13*** |
| βGARCH | 0.8564 | 57.98*** |
Spline Coefficients
K=8
| γ1 | -0.0270 | -0.65 |
| γ2 | -0.0238 | -0.36 |
| γ3 | 0.1691 | 3.43*** |
| γ4 | -0.2507 | -6.02*** |
| γ5 | 0.1871 | 4.57*** |
| γ6 | -0.0204 | -0.46 |
| γ7 | -0.0743 | -1.64 |
| γ8 | 0.0527 | 1.62 |
0.953
Persistence14d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9424 | 6.23*** |
α ARCH Response to squared shocks | 0.0969 | 8.13*** |
β GARCH Volatility persistence | 0.8564 | 57.98*** |
Spline Coefficients
K=8
| γ1 | -0.0270 | -0.65 |
| γ2 | -0.0238 | -0.36 |
| γ3 | 0.1691 | 3.43*** |
| γ4 | -0.2507 | -6.02*** |
| γ5 | 0.1871 | 4.57*** |
| γ6 | -0.0204 | -0.46 |
| γ7 | -0.0743 | -1.64 |
| γ8 | 0.0527 | 1.62 |
Persistence:
0.953
Half-life:
14 days
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