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V-Lab
V-Lab

iShares MSCI Spain Capped ETF MF2-GARCH Volatility Analysis

Volatility prediction for Monday, September 21st, 2026

1 Day

20.22%

increased by 2.25%

1 Week

20.37%

increased by 2.40%

1 Month

20.79%

increased by 2.82%

Analysis last updated: Friday, September 18, 2026 at 10:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of iShares MSCI Spain Capped ETF MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Apr 1, 1996 to Sep 18, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 271% more than equivalent positive returns.

σ

MF2-GARCH Model

Tap to view equation

Leverage: Negative returns increase volatility 271% more than positive returns
ParamValuet-stat
mwindow101
αARCH0.0386
2.11**
βGARCH0.8664
67.82***
γleverage0.1043
5.82***
λ₁tau intercept0.0090
1.16
λ₂forecast adj.0.0188
1.80*
λ₃tau persistence0.9774
77.30***

0.957

Persistence

16d

Half-life
σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

101
α

ARCH

Response to squared shocks

0.0386
2.11**
β

GARCH

Volatility persistence

0.8664
67.82***
γ

leverage

Additional response to negative shocks

0.1043
5.82***
λ₁

tau intercept

Baseline long-term coefficient

0.0090
1.16
λ₂

forecast adj.

Forecast performance sensitivity

0.0188
1.80*
λ₃

tau persistence

Long-term factor persistence

0.9774
77.30***

Persistence:

0.957

Half-life:

16 days