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V-Lab

iShares China Large-Cap ETF MF2-GARCH Volatility Analysis

Volatility prediction for Monday, August 24th, 2026

1 Day

18.88%

decreased by 0.40%

1 Week

19.67%

increased by 0.39%

1 Month

21.11%

increased by 1.83%

Analysis last updated: Friday, August 21, 2026 at 10:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of iShares China Large-Cap ETF MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Oct 8, 2004 to Aug 21, 2026

Model 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

ParameterValuet-statistic
m

window

Rolling window length

61
α

ARCH

Response to squared shocks

0.0356
6.17***
β

GARCH

Volatility persistence

0.8560
146.16***
γ

leverage

Additional response to negative shocks

0.0804
12.06***
λ₁

tau intercept

Baseline long-term coefficient

0.5370
0.28
λ₂

forecast adj.

Forecast performance sensitivity

0.8431
0.28
λ₃

tau persistence

Long-term factor persistence

0.0000
0.00

Persistence:

0.932

Half-life:

10 days