V-Lab
iShares MSCI South Korea ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
50.79%
increased by 0.64%
1 Week
50.81%
increased by 0.66%
1 Month
50.89%
increased by 0.74%
Analysis last updated: Friday, September 11, 2026 at 11:26 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 12, 2000 to Sep 11, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 389 trading days (~1.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 9.34 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
High persistence: persistence 0.998, shock half-life ~389 daysv = 9.34 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 12.4606 | 1.60 |
| αARCH | 0.0725 | 11.79*** |
| βGARCH | 0.9982 | 859.80*** |
| νDF | 9.3438 | 1.53 |
0.998
Persistence389d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 12.4606 | 1.60 |
α ARCH Response to squared shocks | 0.0725 | 11.79*** |
β GARCH Volatility persistence | 0.9982 | 859.80*** |
ν DF Student-t tail thickness | 9.3438 | 1.53 |
Persistence:
0.998
Half-life:
389 days
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