iShares MSCI Netherlands ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
17.31%
decreased by 0.80%
1 Week
17.49%
decreased by 0.62%
1 Month
18.18%
increased by 0.07%
Analysis last updated: Monday, October 19, 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 16, 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. Returns follow a Student-t distribution with v = 7.77 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.991, shock half-life ~80 daysv = 7.77 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.6863 | 1.70* |
| αARCH | 0.0813 | 9.10*** |
| βGARCH | 0.9914 | 197.17*** |
| νDF | 7.7727 | 1.74* |
0.991
Persistence80d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.6863 | 1.70* |
α ARCH Response to squared shocks | 0.0813 | 9.10*** |
β GARCH Volatility persistence | 0.9914 | 197.17*** |
ν DF Student-t tail thickness | 7.7727 | 1.74* |
Persistence:
0.991
Half-life:
80 days
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