iShares MSCI Spain Capped ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
17.94%
decreased by 0.87%
1 Week
18.33%
decreased by 0.48%
1 Month
19.39%
increased by 0.58%
Analysis last updated: Friday, October 23, 2026 at 10:50 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 23, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 12 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.3152 | 4.76*** |
| αARCH | 0.1068 | 5.91*** |
| βGARCH | 0.8359 | 42.38*** |
Spline Coefficients
K=8
| γ1 | 0.0461 | 0.92 |
| γ2 | -0.1068 | -1.46 |
| γ3 | 0.1838 | 3.97*** |
| γ4 | -0.2331 | -6.19*** |
| γ5 | 0.1282 | 3.67*** |
| γ6 | 0.0013 | 0.03 |
| γ7 | -0.0171 | -0.39 |
| γ8 | -0.0065 | -0.21 |
0.943
Persistence12d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3152 | 4.76*** |
α ARCH Response to squared shocks | 0.1068 | 5.91*** |
β GARCH Volatility persistence | 0.8359 | 42.38*** |
Spline Coefficients
K=8
| γ1 | 0.0461 | 0.92 |
| γ2 | -0.1068 | -1.46 |
| γ3 | 0.1838 | 3.97*** |
| γ4 | -0.2331 | -6.19*** |
| γ5 | 0.1282 | 3.67*** |
| γ6 | 0.0013 | 0.03 |
| γ7 | -0.0171 | -0.39 |
| γ8 | -0.0065 | -0.21 |
Persistence:
0.943
Half-life:
12 days
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