V-Lab
Direxion Daily Googl Bear 1x Shares MF2-GARCH Volatility Analysis
Volatility prediction for Thursday, August 6th, 2026
1 Day
40.12%
1 Week
36.61%
1 Month
33.34%
Analysis last updated: Wednesday, August 5, 2026 at 09:26 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 8, 2022 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 112% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 101 | |
α ARCH Response to squared shocks | 0.1248 | 10.24*** |
β GARCH Volatility persistence | 0.5956 | 9.67*** |
γ leverage Additional response to negative shocks | -0.0660 | -4.03*** |
λ₁ tau intercept Baseline long-term coefficient | 4.0565 | 0.01 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.687
Half-life:
2 days
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