iShares MSCI Spain Capped ETF AGARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
18.17%
decreased by 0.53%
1 Week
18.67%
decreased by 0.03%
1 Month
20.29%
increased by 1.59%
Analysis last updated: Friday, October 16, 2026 at 10:40 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 1, 1996 to Oct 16, 2026Model Insight
The news-impact curve is shifted (γ = 0.61) 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 | 0.0322 | 2.64*** |
| αARCH | 0.0932 | 7.59*** |
| βGARCH | 0.8844 | 84.78*** |
| γleverage | 0.6064 | 4.97*** |
0.978
Persistence31d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0322 | 2.64*** |
α ARCH Response to squared shocks | 0.0932 | 7.59*** |
β GARCH Volatility persistence | 0.8844 | 84.78*** |
γ leverage Additional response to negative shocks | 0.6064 | 4.97*** |
Persistence:
0.978
Half-life:
31 days
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