iShares MSCI United Kingdom ETF AGARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
15.35%
decreased by 0.77%
1 Week
15.66%
decreased by 0.46%
1 Month
16.72%
increased by 0.60%
Analysis last updated: Wednesday, July 15, 2026 at 09:58 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 5, 1996 to Jul 10, 2026Model Insight
The news-impact curve is shifted (γ = 0.60) 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 | 0.0012 | 0.52 |
α ARCH Response to squared shocks | 0.0910 | 35.87*** |
β GARCH Volatility persistence | 0.8933 | 403.48*** |
γ leverage Additional response to negative shocks | 0.6007 | 20.75*** |
Persistence:
0.984
Half-life:
44 days
Other iShares MSCI United Kingdom ETF Analyses
Other AGARCH Analyses on ETFs