V-Lab
T-REX 2x Long EOSE Daily Target ETF GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, September 21st, 2026
1 Day
207.28%
1 Week
213.27%
1 Month
235.72%
Analysis last updated: Friday, September 18, 2026 at 09:45 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 14, 2026 to Sep 18, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
GJR-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.0000 | 0.21 |
| αARCH | 0.0000 | 0.00 |
| βGARCH | 0.9266 | 46.32*** |
| γleverage | 0.1468 | 0.89 |
1.000
Persistence1386294d
Half-lifeGJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.21 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9266 | 46.32*** |
γ leverage Additional response to negative shocks | 0.1468 | 0.89 |
Persistence:
1.000
Half-life:
1386294 days
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