iShares MSCI France ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
17.30%
increased by 0.54%
1 Week
17.44%
increased by 0.68%
1 Month
17.84%
increased by 1.08%
Analysis last updated: Monday, October 19, 2026 at 09:40 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 2, 1996 to Oct 16, 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 17 trading days.
τ
Zero Slope Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1346 | 5.25*** |
| αARCH | 0.1110 | 8.09*** |
| βGARCH | 0.8488 | 57.30*** |
Spline Coefficients
K=8
| γ1 | 0.0069 | 0.14 |
| γ2 | -0.0555 | -0.73 |
| γ3 | 0.1573 | 3.08*** |
| γ4 | -0.2155 | -5.11*** |
| γ5 | 0.1229 | 3.06*** |
| γ6 | 0.0346 | 0.78 |
| γ7 | -0.0850 | -1.87* |
| γ8 | 0.0428 | 1.31 |
0.960
Persistence17d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1346 | 5.25*** |
α ARCH Response to squared shocks | 0.1110 | 8.09*** |
β GARCH Volatility persistence | 0.8488 | 57.30*** |
Spline Coefficients
K=8
| γ1 | 0.0069 | 0.14 |
| γ2 | -0.0555 | -0.73 |
| γ3 | 0.1573 | 3.08*** |
| γ4 | -0.2155 | -5.11*** |
| γ5 | 0.1229 | 3.06*** |
| γ6 | 0.0346 | 0.78 |
| γ7 | -0.0850 | -1.87* |
| γ8 | 0.0428 | 1.31 |
Persistence:
0.960
Half-life:
17 days
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