V-Lab
iShares MSCI Netherlands ETF Asy. MEM Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
15.30%
decreased by 0.30%
1 Week
15.57%
decreased by 0.03%
1 Month
16.58%
increased by 0.98%
Analysis last updated: Friday, September 11, 2026 at 11:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 5, 1996 to Sep 11, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 80 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 80% more than positive returns
μ
AMEM Model
Tap to view equation
High persistence: persistence 0.991, shock half-life ~80 daysLeverage: Negative returns increase volatility 80% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0251 | 5.43*** |
| αARCH | 0.0927 | 5.71*** |
| βGARCH | 0.8618 | 82.00*** |
| γleverage | 0.0737 | 2.81*** |
0.991
Persistence80d
Half-lifeμ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0251 | 5.43*** |
α ARCH Response to squared shocks | 0.0927 | 5.71*** |
β GARCH Volatility persistence | 0.8618 | 82.00*** |
γ leverage Additional response to negative shocks | 0.0737 | 2.81*** |
Persistence:
0.991
Half-life:
80 days
Other iShares MSCI Netherlands ETF Analyses
Other Asy. MEM Analyses on ETFs