V-Lab
T-REX 2x Long CIFR Daily Target ETF MF2-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, August 10th, 2026
1 Day
136.92%
1 Week
130.70%
1 Month
128.21%
Analysis last updated: Friday, August 7, 2026 at 09:27 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 21, 2025 to Aug 7, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Inverse leverage: volatility responds almost entirely to positive returns
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 86 | |
α ARCH Response to squared shocks | 0.3438 | 114.42*** |
β GARCH Volatility persistence | 0.8281 | 1,604.81*** |
γ leverage Additional response to negative shocks | -0.3438 | -356.68*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0000 | 0.00 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1155 | 0.70 |
λ₃ tau persistence Long-term factor persistence | 0.2141 | 11.00*** |
Persistence:
1.000
Half-life:
-
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