V-Lab
Proshares S&P 500 EX-Technology ETF Asy. MEM Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
15.55%
decreased by 0.61%
1 Week
15.79%
decreased by 0.37%
1 Month
16.50%
increased by 0.34%
Analysis last updated: Saturday, August 8, 2026 at 02:27 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 27, 2015 to Aug 7, 2026Illiquid Asset
Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 65% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
μ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0601 | 12.89*** |
α ARCH Response to squared shocks | 0.1318 | 8.27*** |
β GARCH Volatility persistence | 0.8480 | 113.37*** |
γ leverage Additional response to negative shocks | -0.0517 | -2.07** |
Persistence:
0.954
Half-life:
15 days
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