V-Lab
Direxion Daily AI and Big Data Bear 2X ETF MF2-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
45.28%
1 Week
48.89%
1 Month
52.68%
Analysis last updated: Saturday, September 19, 2026 at 02:22 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 15, 2024 to Sep 18, 2026Model 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.
MF2-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 21 | |
| αARCH | 0.2348 | 4.56*** |
| βGARCH | 0.6172 | 8.19*** |
| γleverage | -0.2214 | -3.98*** |
| λ₁tau intercept | 5.1584 | 1.15 |
| λ₂forecast adj. | 0.2115 | 1.12 |
| λ₃tau persistence | 0.3503 | 0.62 |
0.741
Persistence2d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.2348 | 4.56*** |
β GARCH Volatility persistence | 0.6172 | 8.19*** |
γ leverage Additional response to negative shocks | -0.2214 | -3.98*** |
λ₁ tau intercept Baseline long-term coefficient | 5.1584 | 1.15 |
λ₂ forecast adj. Forecast performance sensitivity | 0.2115 | 1.12 |
λ₃ tau persistence Long-term factor persistence | 0.3503 | 0.62 |
Persistence:
0.741
Half-life:
2 days
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