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V-Lab

iShares MSCI United Kingdom ETF GAS-GARCH Student T Volatility Analysis

Volatility prediction for Monday, July 20th, 2026

1 Day

13.57%

decreased by 0.76%

1 Week

13.81%

decreased by 0.52%

1 Month

14.65%

increased by 0.32%

Analysis last updated: Friday, July 17, 2026 at 10:36 PM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of iShares MSCI United Kingdom ETF GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Apr 5, 1996 to Jul 17, 2026

Model Insight

With persistence 0.990, volatility shocks have a half-life of 70 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.68 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

2.0257
6.72***
α

ARCH

Response to squared shocks

0.0852
37.79***
β

GARCH

Volatility persistence

0.9901
673.10***
ν

DF

Student-t tail thickness

7.6816
6.72***

Persistence:

0.990

Half-life:

70 days