iShares Core US REIT ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
17.53%
decreased by 0.71%
1 Week
17.85%
decreased by 0.39%
1 Month
18.82%
increased by 0.58%
Analysis last updated: Tuesday, July 21, 2026 at 09:53 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 3, 2016 to Jul 17, 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 20 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6474 | 7.70*** |
α ARCH Response to squared shocks | 0.0989 | 5.08*** |
β GARCH Volatility persistence | 0.8675 | 38.57*** |
Spline Coefficients
K=1
| γ1 | -0.0079 | -3.08*** |
Persistence:
0.966
Half-life:
20 days
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