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V-Lab
V-Lab

Direxion Daily AI and Big Data Bear 2X ETF MF2-GARCH Volatility Analysis

Volatility prediction for Tuesday, September 8th, 2026

1 Day

46.65%

decreased by 1.83%

1 Week

49.28%

increased by 0.80%

1 Month

53.15%

increased by 4.67%

Analysis last updated: Saturday, September 5, 2026 at 02:21 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

All

graph of Direxion Daily AI and Big Data Bear 2X ETF MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

May 15, 2024 to Sep 4, 2026

Model Insight

This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets.

σ

MF2-GARCH Model

Tap to view equation

Inverse leverage: volatility responds almost entirely to positive returns
ParamValuet-stat
mwindow21
αARCH0.2425
4.69***
βGARCH0.6120
8.31***
γleverage-0.2243
-3.98***
λ₁tau intercept4.8452
1.03
λ₂forecast adj.0.1791
0.98
λ₃tau persistence0.4146
0.73

0.742

Persistence

2d

Half-life
σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

21
α

ARCH

Response to squared shocks

0.2425
4.69***
β

GARCH

Volatility persistence

0.6120
8.31***
γ

leverage

Additional response to negative shocks

-0.2243
-3.98***
λ₁

tau intercept

Baseline long-term coefficient

4.8452
1.03
λ₂

forecast adj.

Forecast performance sensitivity

0.1791
0.98
λ₃

tau persistence

Long-term factor persistence

0.4146
0.73

Persistence:

0.742

Half-life:

2 days