V-Lab
iShares MSCI Taiwan Capped ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
27.19%
increased by 0.62%
1 Week
27.21%
increased by 0.64%
1 Month
27.30%
increased by 0.73%
Analysis last updated: Friday, September 11, 2026 at 11:24 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 23, 2000 to Sep 11, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 89 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 8.20 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
High persistence: persistence 0.992, shock half-life ~89 daysv = 8.20 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.2564 | 1.50 |
| αARCH | 0.0724 | 8.43*** |
| βGARCH | 0.9922 | 194.32*** |
| νDF | 8.1951 | 1.31 |
0.992
Persistence89d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.2564 | 1.50 |
α ARCH Response to squared shocks | 0.0724 | 8.43*** |
β GARCH Volatility persistence | 0.9922 | 194.32*** |
ν DF Student-t tail thickness | 8.1951 | 1.31 |
Persistence:
0.992
Half-life:
89 days
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