V-Lab
Simplify US Equity PLUS Managed Futures Strategy ETF MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
25.61%
increased by 6.28%
1 Week
27.36%
increased by 8.03%
1 Month
30.75%
increased by 11.42%
Analysis last updated: Friday, July 24, 2026 at 10:15 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 9, 2025 to Jul 24, 2026Boundary Parameters
Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 56 | |
α ARCH Response to squared shocks | 0.0000 | 0.02 |
β GARCH Volatility persistence | 0.5596 | 602.37*** |
γ leverage Additional response to negative shocks | 0.5000 | 150.51*** |
λ₁ tau intercept Baseline long-term coefficient | 0.3842 | 0.31 |
λ₂ forecast adj. Forecast performance sensitivity | 1.0000 | 0.30 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.810
Half-life:
3 days
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