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V-Lab

iShares MSCI Taiwan Capped ETF Spline-GARCH Volatility Analysis

Volatility prediction for Thursday, July 16th, 2026

1 Day

38.60%

decreased by 1.94%

1 Week

38.24%

decreased by 2.30%

1 Month

37.00%

decreased by 3.54%

Analysis last updated: Wednesday, July 15, 2026 at 09:58 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of iShares MSCI Taiwan Capped ETF SGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jun 23, 2000 to Jul 10, 2026

Model 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 27 trading days.

τ

Spline-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.8652
9.83***
α

ARCH

Response to squared shocks

0.0871
9.32***
β

GARCH

Volatility persistence

0.8874
77.61***
γi Spline Coefficients
K=1
γ10.0062
5.82***

Persistence:

0.975

Half-life:

27 days