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V-Lab

YieldMax MSTR Performance & Income Target 25 ETF GJR-GARCH Volatility Analysis

Volatility prediction for Monday, July 27th, 2026

1 Day

67.31%

decreased by 7.47%

1 Week

67.00%

decreased by 7.78%

1 Month

66.71%

decreased by 8.07%

Analysis last updated: Saturday, July 25, 2026 at 02:17 AM UTC

Date Range:

from

to

6M ·

All

graph of YieldMax MSTR Performance & Income Target 25 ETF GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Nov 18, 2025 to Jul 24, 2026
Boundary Parameters

Model Insight

Volatility shocks decay with a half-life of 2 trading days, meaning a shock loses half its impact after approximately 2 days.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
4.71***
α

ARCH

Response to squared shocks

0.0000
0.00
β

GARCH

Volatility persistence

0.5368
10.32***
γ

leverage

Additional response to negative shocks

0.3582
4.04***

Persistence:

0.716

Half-life:

2 days