DF Tactical 30 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 Tuesday, July 21st, 2026
1 Day
34.55%
1 Week
34.82%
1 Month
35.37%
Analysis last updated: Monday, July 20, 2026 at 09:38 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 12, 2025 to Jul 17, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 138629 trading days (~550.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 26 | |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 1.0000 | 0.00 |
γ leverage Additional response to negative shocks | 0.0000 | 0.00 |
λ₁ tau intercept Baseline long-term coefficient | 0.0000 | 0.00 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0806 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.9194 | 0.00 |
Persistence:
1.000
Half-life:
138629 days
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