V-Lab
iShares MSCI Switzerland Capped ETF AGARCH Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
16.18%
decreased by 0.62%
1 Week
16.37%
decreased by 0.43%
1 Month
17.04%
increased by 0.24%
Analysis last updated: Monday, October 5, 2026 at 09:40 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 2, 1996 to Oct 2, 2026Model Insight
The news-impact curve is shifted (γ = 0.59) 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 | 0.0003 | 0.04 |
| αARCH | 0.0784 | 9.82*** |
| βGARCH | 0.9072 | 109.77*** |
| γleverage | 0.5876 | 6.37*** |
0.986
Persistence48d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0003 | 0.04 |
α ARCH Response to squared shocks | 0.0784 | 9.82*** |
β GARCH Volatility persistence | 0.9072 | 109.77*** |
γ leverage Additional response to negative shocks | 0.5876 | 6.37*** |
Persistence:
0.986
Half-life:
48 days
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