V-Lab
Defiance Daily Target 2X Short BMNR ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
161.82%
increased by 0.26%
1 Week
162.36%
increased by 0.80%
1 Month
164.49%
increased by 2.93%
Analysis last updated: Friday, July 24, 2026 at 10:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 13, 2025 to Jul 24, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 400 trading days (~1.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 8.59 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 305.6856 | 3.99*** |
α ARCH Response to squared shocks | 0.0546 | 5.36*** |
β GARCH Volatility persistence | 0.9983 | 164.22*** |
ν DF Student-t tail thickness | 8.5878 | 0.54 |
Persistence:
0.998
Half-life:
400 days
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