V-Lab
iShares China Large-Cap ETF MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
20.53%
decreased by 0.71%
1 Week
21.15%
decreased by 0.09%
1 Month
22.43%
increased by 1.19%
Analysis last updated: Friday, August 14, 2026 at 10:21 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 8, 2004 to Aug 14, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 226% more than equivalent positive returns.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 61 | |
α ARCH Response to squared shocks | 0.0356 | 6.17*** |
β GARCH Volatility persistence | 0.8556 | 145.74*** |
γ leverage Additional response to negative shocks | 0.0806 | 12.06*** |
λ₁ tau intercept Baseline long-term coefficient | 0.5399 | 0.28 |
λ₂ forecast adj. Forecast performance sensitivity | 0.8426 | 0.28 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.932
Half-life:
10 days
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