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V-Lab

iShares MSCI France ETF AGARCH Volatility Analysis

Volatility prediction for Wednesday, July 22nd, 2026

1 Day

16.58%

decreased by 0.91%

1 Week

17.00%

decreased by 0.49%

1 Month

18.40%

increased by 0.91%

Analysis last updated: Tuesday, July 21, 2026 at 09:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of iShares MSCI France ETF AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Apr 2, 1996 to Jul 17, 2026

Model Insight

The news-impact curve is shifted (γ = 0.64) 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

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0085
2.56**
α

ARCH

Response to squared shocks

0.0949
34.26***
β

GARCH

Volatility persistence

0.8870
341.42***
γ

leverage

Additional response to negative shocks

0.6434
20.84***

Persistence:

0.982

Half-life:

38 days