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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2468	21.60***
β GARCH Volatility persistence	0.5867	23.75***
γ leverage Additional response to negative shocks	-0.2332	-14.70***
λ₁ tau intercept Baseline long-term coefficient	7.5260	0.37
λ₂ forecast adj. Forecast performance sensitivity	0.3706	0.42
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Direxion Daily AI and Big Data Bear 2X ETF Analyses