V-Lab
Direxion Daily AI and Big Data Bear 2X ETF GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 4th, 2026
1 Day
48.48%
decreased by 1.19%
1 Week
49.79%
increased by 0.12%
1 Month
53.77%
increased by 4.10%
Analysis last updated: Friday, September 4, 2026 at 02:18 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 15, 2024 to Aug 28, 2026Model Insight
Volatility shocks decay with a half-life of 20 trading days, meaning a shock loses half its impact after approximately 20 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5903 | 1.78* |
α ARCH Response to squared shocks | 0.1789 | 1.13 |
β GARCH Volatility persistence | 0.8726 | 18.42*** |
γ leverage Additional response to negative shocks | -0.1727 | -1.02 |
Persistence:
0.965
Half-life:
20 days
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