V-Lab
Leverage Shares 2X Long CNC Daily ETF GAS-GARCH Student T Volatility Analysis
Inactive
Last recorded values (Wednesday, July 29th, 2026):
1 Day
98.90%
1 Week
98.90%
1 Month
98.90%
Analysis last updated: Wednesday, July 29, 2026 at 02:19 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 18, 2025 to Jul 24, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 88 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.64 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 | 38.8149 | 0.26 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9922 | 4.78*** |
ν DF Student-t tail thickness | 3.6404 | 0.27 |
Persistence:
0.992
Half-life:
88 days
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