Defiance BMNR Option Income ETF Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
66.97%
increased by 7.17%
1 Week
65.49%
increased by 5.69%
1 Month
64.96%
increased by 5.16%
Analysis last updated: Monday, July 20, 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 model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 1 trading day.
τ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.5421 | 5.87*** |
α ARCH Response to squared shocks | 0.1685 | 1.51 |
β GARCH Volatility persistence | 0.1981 | 0.56 |
Spline Coefficients
K=1
| γ1 | 3.8965 | 1.10 |
Persistence:
0.367
Half-life:
1 days
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