V-Lab
Betapro Nasdaq-100 -2X D ETF GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
30.34%
increased by 3.16%
1 Week
31.25%
increased by 4.07%
1 Month
34.29%
increased by 7.11%
Analysis last updated: Tuesday, September 29, 2026 at 09:06 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 18, 2008 to Sep 25, 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.
σ
GJR-GARCH Model
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Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1782 | 4.35*** |
| αARCH | 0.2009 | 6.16*** |
| βGARCH | 0.8795 | 73.52*** |
| γleverage | -0.1964 | -5.69*** |
0.982
Persistence38d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1782 | 4.35*** |
α ARCH Response to squared shocks | 0.2009 | 6.16*** |
β GARCH Volatility persistence | 0.8795 | 73.52*** |
γ leverage Additional response to negative shocks | -0.1964 | -5.69*** |
Persistence:
0.982
Half-life:
38 days
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