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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 2, 1996 to Jul 17, 2026Model 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
| Parameter | Value | t-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
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