V-Lab
iShares China Large-Cap ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
21.48%
decreased by 0.52%
1 Week
22.14%
increased by 0.14%
1 Month
24.33%
increased by 2.33%
Analysis last updated: Friday, September 11, 2026 at 11:29 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 8, 2004 to Sep 11, 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 36 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 | 0.7091 | 5.84*** |
| αARCH | 0.0834 | 5.84*** |
| βGARCH | 0.8973 | 57.32*** |
Spline Coefficients
K=3
| γ1 | -0.0364 | -3.33*** |
| γ2 | 0.0584 | 3.56*** |
| γ3 | -0.0304 | -3.46*** |
0.981
Persistence36d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7091 | 5.84*** |
α ARCH Response to squared shocks | 0.0834 | 5.84*** |
β GARCH Volatility persistence | 0.8973 | 57.32*** |
Spline Coefficients
K=3
| γ1 | -0.0364 | -3.33*** |
| γ2 | 0.0584 | 3.56*** |
| γ3 | -0.0304 | -3.46*** |
Persistence:
0.981
Half-life:
36 days
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