ProShares UltraPro Short QQQ AGARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
65.79%
decreased by 5.56%
1 Week
66.02%
decreased by 5.33%
1 Month
66.78%
decreased by 4.57%
Analysis last updated: Tuesday, July 21, 2026 at 09:26 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 11, 2010 to Jul 17, 2026Model Insight
The news-impact curve is shifted (γ = -2.11) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0865 | 1.66* |
α ARCH Response to squared shocks | 0.1249 | 33.82*** |
β GARCH Volatility persistence | 0.8415 | 227.48*** |
γ leverage Additional response to negative shocks | -2.1085 | -15.27*** |
Persistence:
0.966
Half-life:
20 days
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