V-Lab
ProShares UltraPro S&P 500 GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
38.66%
decreased by 3.98%
1 Week
39.44%
decreased by 3.20%
1 Month
42.03%
decreased by 0.61%
Analysis last updated: Friday, July 24, 2026 at 10:52 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 25, 2009 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 33 trading days, meaning a shock loses half its impact after approximately 33 days. Returns follow a Student-t distribution with v = 5.39 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 11.8703 | 4.91*** |
α ARCH Response to squared shocks | 0.1231 | 28.57*** |
β GARCH Volatility persistence | 0.9794 | 218.42*** |
ν DF Student-t tail thickness | 5.3852 | 8.21*** |
Persistence:
0.979
Half-life:
33 days
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