V-Lab
ProShares Ultra VIX Short-Term Futures ETF Asy. Power MEM Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
64.44%
1 Week
69.88%
1 Month
77.39%
Analysis last updated: Friday, September 4, 2026 at 09:32 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 8, 2011 to Sep 4, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 37% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets. The volatility power δ = 0.88 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APMEM Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8107 | 2.69*** |
| αARCH | 0.3497 | 13.54*** |
| βGARCH | 0.5301 | 15.06*** |
| γleverage | -0.1764 | -4.76*** |
| δpower | 0.8797 | 4.26*** |
0.808
Persistence3d
Half-lifeAPMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8107 | 2.69*** |
α ARCH Response to squared shocks | 0.3497 | 13.54*** |
β GARCH Volatility persistence | 0.5301 | 15.06*** |
γ leverage Additional response to negative shocks | -0.1764 | -4.76*** |
δ power Transformation power | 0.8797 | 4.26*** |
Persistence:
0.808
Half-life:
3 days
Other ProShares Ultra VIX Short-Term Futures ETF Analyses
Other Asy. Power MEM Analyses on ETFs