Simplify US Equity PLUS Managed Futures Strategy ETF MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
6.40%
decreased by 0.12%
1 Week
4.13%
decreased by 2.39%
1 Month
2.07%
decreased by 4.45%
Analysis last updated: Tuesday, July 14, 2026 at 09:37 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 9, 2025 to Jul 10, 2026Model Insight
Volatility shocks decay with a half-life of 1 trading day, meaning a shock loses half its impact after approximately 1 day.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 71 | |
α ARCH Response to squared shocks | 0.0427 | 1.89* |
β GARCH Volatility persistence | 0.5103 | 2,288.29*** |
γ leverage Additional response to negative shocks | -0.0425 | -1.89* |
λ₁ tau intercept Baseline long-term coefficient | 0.0000 | 1.00 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0003 | 1.81* |
λ₃ tau persistence Long-term factor persistence | 0.0683 | 7.00*** |
Persistence:
0.532
Half-life:
1 days
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