V-Lab
Defiance BMNR Option Income ETF MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
116.17%
increased by 41.97%
1 Week
199.16%
increased by 124.96%
1 Month
2,739.56%
increased by 2,665.36%
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
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 125% more than equivalent positive returns.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 76 | |
α ARCH Response to squared shocks | 0.4002 | 698.38*** |
β GARCH Volatility persistence | 0.0000 | 0.04 |
γ leverage Additional response to negative shocks | 0.5000 | 251.00*** |
λ₁ tau intercept Baseline long-term coefficient | 0.7367 | 225.77*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.9030 | 92.17*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.08 |
Persistence:
0.650
Half-life:
2 days
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