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V-Lab

Defiance BMNR Option Income ETF GAS-GARCH Student T Volatility Analysis

Volatility prediction for Wednesday, July 22nd, 2026

1 Day

68.24%

decreased by 1.71%

1 Week

68.84%

decreased by 1.11%

1 Month

71.11%

increased by 1.16%

Analysis last updated: Tuesday, July 21, 2026 at 09:32 PM UTC

Date Range:

from

to

6M ·

All

graph of Defiance BMNR Option Income ETF GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Nov 25, 2025 to Jul 17, 2026

Model Insight

With persistence 0.993, volatility shocks have a half-life of 103 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 40.42 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

43.1484
3.25***
α

ARCH

Response to squared shocks

0.0780
2.36**
β

GARCH

Volatility persistence

0.9933
256.39***
ν

DF

Student-t tail thickness

40.4228
0.09

Persistence:

0.993

Half-life:

103 days