V-Lab
Defiance BMNR Option Income ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
76.78%
increased by 13.50%
1 Week
77.17%
increased by 13.89%
1 Month
78.62%
increased by 15.34%
Analysis last updated: Tuesday, July 28, 2026 at 02:21 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 25, 2025 to Jul 24, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 119 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 50.20 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 43.6611 | 3.44*** |
α ARCH Response to squared shocks | 0.0778 | 2.45** |
β GARCH Volatility persistence | 0.9942 | 299.10*** |
ν DF Student-t tail thickness | 50.2019 | 0.07 |
Persistence:
0.994
Half-life:
119 days
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