ProShares Ultra VIX Short-Term Futures ETF Asy. MEM Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
62.24%
decreased by 7.28%
1 Week
74.05%
increased by 4.53%
1 Month
95.20%
increased by 25.68%
Analysis last updated: Friday, October 9, 2026 at 11:53 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 8, 2011 to Oct 9, 2026Boundary Parameters
Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 66% 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
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Inverse leverage: Positive returns increase volatility 66% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.0000 | 8.52*** |
| αARCH | 0.4712 | 8.55*** |
| βGARCH | 0.5262 | 16.67*** |
| γleverage | -0.1878 | -2.10** |
0.904
Persistence7d
Half-lifeμ
AMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 8.52*** |
α ARCH Response to squared shocks | 0.4712 | 8.55*** |
β GARCH Volatility persistence | 0.5262 | 16.67*** |
γ leverage Additional response to negative shocks | -0.1878 | -2.10** |
Persistence:
0.904
Half-life:
7 days
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