V-Lab
iShares MSCI United Kingdom ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
13.04%
decreased by 0.52%
1 Week
13.40%
decreased by 0.16%
1 Month
14.50%
increased by 0.94%
Analysis last updated: Monday, September 28, 2026 at 09:45 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 5, 1996 to Sep 25, 2026Model 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 19 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0226 | 7.03*** |
| αARCH | 0.1019 | 8.07*** |
| βGARCH | 0.8613 | 67.50*** |
Spline Coefficients
K=8
| γ1 | -0.0352 | -0.86 |
| γ2 | -0.0023 | -0.04 |
| γ3 | 0.1465 | 3.12*** |
| γ4 | -0.2271 | -5.63*** |
| γ5 | 0.1578 | 4.10*** |
| γ6 | 0.0025 | 0.06 |
| γ7 | -0.0834 | -1.55 |
| γ8 | 0.0528 | 1.07 |
0.963
Persistence19d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0226 | 7.03*** |
α ARCH Response to squared shocks | 0.1019 | 8.07*** |
β GARCH Volatility persistence | 0.8613 | 67.50*** |
Spline Coefficients
K=8
| γ1 | -0.0352 | -0.86 |
| γ2 | -0.0023 | -0.04 |
| γ3 | 0.1465 | 3.12*** |
| γ4 | -0.2271 | -5.63*** |
| γ5 | 0.1578 | 4.10*** |
| γ6 | 0.0025 | 0.06 |
| γ7 | -0.0834 | -1.55 |
| γ8 | 0.0528 | 1.07 |
Persistence:
0.963
Half-life:
19 days
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