Ishares Large CAP ACC OT ETF Zero Slope Spline-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Tuesday, November 10th, 2026
1 Day
36.37%
1 Week
36.60%
1 Month
37.53%
Analysis last updated: Tuesday, November 10, 2026 at 03:17 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 16, 2025 to Nov 6, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 115524 trading days (~458.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Zero Slope Spline-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9127 | 0.00 |
| αARCH | 0.2739 | 0.00 |
| βGARCH | 0.7261 | 0.00 |
| γ1 | -43.6421 | 0.00 |
| γ2 | 51.4489 | 0.00 |
| γ3 | -33.7746 | 0.00 |
| γ4 | 54.9701 | 0.00 |
| γ5 | -40.8658 | 0.00 |
1.000
Persistence115524d
Half-lifeZero Slope Spline-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9127 | 0.00 |
α ARCH Response to squared shocks | 0.2739 | 0.00 |
β GARCH Volatility persistence | 0.7261 | 0.00 |
| γ1 | -43.6421 | 0.00 |
| γ2 | 51.4489 | 0.00 |
| γ3 | -33.7746 | 0.00 |
| γ4 | 54.9701 | 0.00 |
| γ5 | -40.8658 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
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