Defiance BMNR Option Income ETF MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
45.63%
unchanged at 0.00%
1 Week
50.90%
increased by 5.27%
1 Month
52.27%
increased by 6.64%
Analysis last updated: Tuesday, July 21, 2026 at 09:32 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 25, 2025 to Jul 17, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 26 | |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.0000 | 0.00 |
γ leverage Additional response to negative shocks | 0.5000 | 13.95*** |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 5.05*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.0922 | 0.81 |
Persistence:
0.250
Half-life:
1 days
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