V-Lab
iShares MSCI Spain Capped ETF GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
18.19%
decreased by 0.55%
1 Week
18.57%
decreased by 0.17%
1 Month
19.85%
increased by 1.11%
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 1, 1996 to Aug 7, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 246% more than equivalent positive returns.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0527 | 21.41*** |
α ARCH Response to squared shocks | 0.0386 | 10.98*** |
β GARCH Volatility persistence | 0.8952 | 358.37*** |
γ leverage Additional response to negative shocks | 0.0950 | 17.19*** |
Persistence:
0.981
Half-life:
37 days
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