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V-Lab

iShares Russell 3000 ETF MF2-GARCH Volatility Analysis

Volatility prediction for Tuesday, August 25th, 2026

1 Day

12.06%

decreased by 0.22%

1 Week

12.44%

increased by 0.16%

1 Month

13.61%

increased by 1.33%

Analysis last updated: Monday, August 24, 2026 at 09:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of iShares Russell 3000 ETF MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

May 29, 2000 to Aug 21, 2026

Model Insight

This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

76
α

ARCH

Response to squared shocks

0.0000
0.00
β

GARCH

Volatility persistence

0.8404
232.87***
γ

leverage

Additional response to negative shocks

0.2084
44.70***
λ₁

tau intercept

Baseline long-term coefficient

0.0260
5.44***
λ₂

forecast adj.

Forecast performance sensitivity

0.1276
6.75***
λ₃

tau persistence

Long-term factor persistence

0.8477
37.11***

Persistence:

0.945

Half-life:

12 days