V-Lab
YieldMax MSTR Performance & Income Target 25 ETF APARCH Volatility Analysis
Volatility prediction for Wednesday, August 12th, 2026
1 Day
59.43%
increased by 3.18%
1 Week
61.03%
increased by 4.78%
1 Month
62.10%
increased by 5.85%
Analysis last updated: Wednesday, August 12, 2026 at 02:16 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 18, 2025 to Aug 7, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 143% more than equivalent positive returns. The volatility power δ = 0.70 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
σ
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0000 | 3.08*** |
α ARCH Response to squared shocks | 0.2500 | 9.92*** |
β GARCH Volatility persistence | 0.4247 | 6.57*** |
γ leverage Additional response to negative shocks | 0.5591 | 6.52*** |
δ power Transformation power | 0.7015 | 3.81*** |
Persistence:
0.618
Half-life:
1 days
Other YieldMax MSTR Performance & Income Target 25 ETF Analyses
Other APARCH Analyses on ETFs