V-Lab
YieldMax MSTR Performance & Income Target 25 ETF GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
53.27%
decreased by 2.92%
1 Week
59.65%
increased by 3.46%
1 Month
65.25%
increased by 9.06%
Analysis last updated: Saturday, August 22, 2026 at 02:17 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 18, 2025 to Aug 21, 2026Boundary 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
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 5.07*** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.4999 | 10.11*** |
γ leverage Additional response to negative shocks | 0.4466 | 4.95*** |
Persistence:
0.723
Half-life:
2 days
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