V-Lab
ProShares UltraPro S&P 500 GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
38.33%
increased by 2.45%
1 Week
39.12%
increased by 3.24%
1 Month
41.76%
increased by 5.88%
Analysis last updated: Saturday, September 12, 2026 at 12:00 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 25, 2009 to Sep 11, 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 = 5.42 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 33-day half-lifev = 5.42 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 11.7449 | 1.25 |
| αARCH | 0.1232 | 7.12*** |
| βGARCH | 0.9791 | 54.67*** |
| νDF | 5.4239 | 2.03** |
0.979
Persistence33d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 11.7449 | 1.25 |
α ARCH Response to squared shocks | 0.1232 | 7.12*** |
β GARCH Volatility persistence | 0.9791 | 54.67*** |
ν DF Student-t tail thickness | 5.4239 | 2.03** |
Persistence:
0.979
Half-life:
33 days
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