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{name} Model Equation

How returns affect tomorrow's volatility

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Param	Value	t-stat
mwindow	66
αARCH	0.4647	89.97***
βGARCH	0.0000	1.25
γleverage	-0.4647	-89.93***
λ₁tau intercept	0.0026	1.15
λ₂forecast adj.	0.3554	27.05***
λ₃tau persistence	0.0000	1.00

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.4647	89.97***
β GARCH Volatility persistence	0.0000	1.25
γ leverage Additional response to negative shocks	-0.4647	-89.93***
λ₁ tau intercept Baseline long-term coefficient	0.0026	1.15
λ₂ forecast adj. Forecast performance sensitivity	0.3554	27.05***
λ₃ tau persistence Long-term factor persistence	0.0000	1.00

V-Lab

Defiance Daily Target 2X Long LUNR ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Defiance Daily Target 2X Long LUNR ETF Analyses