iShares Select U.S. REIT ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
15.74%
increased by 0.30%
1 Week
16.01%
increased by 0.57%
1 Month
16.94%
increased by 1.50%
Analysis last updated: Tuesday, October 20, 2026 at 02:18 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 2, 2001 to Oct 16, 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 49 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 | 0.7023 | 7.13*** |
| αARCH | 0.1077 | 9.98*** |
| βGARCH | 0.8784 | 76.98*** |
Spline Coefficients
K=1
| γ1 | -0.0005 | -1.57 |
0.986
Persistence49d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7023 | 7.13*** |
α ARCH Response to squared shocks | 0.1077 | 9.98*** |
β GARCH Volatility persistence | 0.8784 | 76.98*** |
Spline Coefficients
K=1
| γ1 | -0.0005 | -1.57 |
Persistence:
0.986
Half-life:
49 days
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