V-Lab
iShares MSCI Netherlands ETF MEM Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
23.42%
decreased by 1.09%
1 Week
23.55%
decreased by 0.96%
1 Month
24.02%
decreased by 0.49%
Analysis last updated: Friday, August 7, 2026 at 10:18 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 5, 1996 to Aug 7, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 125 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
MEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0238 | 10.60*** |
α ARCH Response to squared shocks | 0.1415 | 44.58*** |
β GARCH Volatility persistence | 0.8530 | 281.15*** |
Persistence:
0.994
Half-life:
125 days
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