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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 5, 1996 to Jul 17, 2026Model 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
| Parameter | Value | t-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
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