V-Lab
Defiance 2x Daily Long Pure Drone and Aerial Automation ETF GAS-GARCH Student T Volatility Analysis
Inactive
Last recorded values (Friday, August 28th, 2026):
1 Day
139.41%
1 Week
139.41%
1 Month
139.41%
Analysis last updated: Wednesday, September 2, 2026 at 07:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 3, 2026 to Aug 27, 2026Hessian SE
Model Insight
With persistence 0.996, volatility shocks have a half-life of 159 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 8.29 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.996, shock half-life ~159 daysv = 8.29 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 77.1183 | 0.21 |
| αARCH | 0.0000 | 0.00 |
| βGARCH | 0.9956 | 1.00 |
| νDF | 8.2885 | 0.09 |
0.996
Persistence159d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 77.1183 | 0.21 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9956 | 1.00 |
ν DF Student-t tail thickness | 8.2885 | 0.09 |
Persistence:
0.996
Half-life:
159 days
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