V-Lab
21Shares Solana ETF MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
73.51%
1 Week
72.61%
1 Month
71.64%
Analysis last updated: Saturday, August 22, 2026 at 02:18 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 19, 2025 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 100% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 91 | |
α ARCH Response to squared shocks | 1.0000 | 452.69*** |
β GARCH Volatility persistence | 0.0000 | 0.01 |
γ leverage Additional response to negative shocks | -0.5000 | -56.70*** |
λ₁ tau intercept Baseline long-term coefficient | 9.9995 | 0.80 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.5029 | 0.79 |
Persistence:
0.750
Half-life:
2 days
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