V-Lab: ProShares Ultra VIX Short-Term Futures ETF Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

ProShares Ultra VIX Short-Term Futures ETF Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:62.14% (-7.28%)

Analysis last updated: Friday, May 17, 2024 at 01:43 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8721	6.73
$α$	0.2122	6.72
$β$	0.6037	11.85
$γ_{1}$	0.3762	3.86
$γ_{2}$	-0.5674	-3.77
$γ_{3}$	0.3212	2.80
$γ_{4}$	-0.2026	-1.62
$γ_{5}$	0.0167	0.10

Estimation Period:
Nov 8, 2011 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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