V-Lab
Defiance Daily Target 2X Short HOOD ETF AGARCH Volatility Analysis
Inactive
Last recorded values (Friday, August 28th, 2026):
1 Day
140.52%
1 Week
144.74%
1 Month
148.64%
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
Nov 13, 2025 to Aug 27, 2026Boundary Parameters
Model Insight
The news-impact curve is shifted (γ = -6.91) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
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Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 15.0000 | 1.30 |
| αARCH | 0.2152 | 2.15** |
| βGARCH | 0.5026 | 13.62*** |
| γleverage | -6.9092 | -2.89*** |
0.718
Persistence2d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 15.0000 | 1.30 |
α ARCH Response to squared shocks | 0.2152 | 2.15** |
β GARCH Volatility persistence | 0.5026 | 13.62*** |
γ leverage Additional response to negative shocks | -6.9092 | -2.89*** |
Persistence:
0.718
Half-life:
2 days
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