V-Lab
Sprott Active Mtls & MNS ETF MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
70.52%
1 Week
63.35%
1 Month
56.22%
Analysis last updated: Saturday, August 22, 2026 at 02:22 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 10, 2025 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 116 | |
α ARCH Response to squared shocks | 0.5000 | 140.57*** |
β GARCH Volatility persistence | 0.4627 | 62.89*** |
γ leverage Additional response to negative shocks | -0.5000 | -275.48*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0428 | 0.08 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0181 | 2.73*** |
λ₃ tau persistence Long-term factor persistence | 0.9819 | 11.76*** |
Persistence:
0.713
Half-life:
2 days
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