V-Lab
ProShares Ultra VIX Short-Term Futures ETF Asy. Power MEM Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
56.90%
1 Week
64.97%
1 Month
76.45%
Analysis last updated: Monday, October 5, 2026 at 09:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 8, 2011 to Oct 2, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 39% 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 = 0.97 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9114 | 2.94*** |
| αARCH | 0.3551 | 13.09*** |
| βGARCH | 0.5337 | 15.76*** |
| γleverage | -0.1667 | -4.53*** |
| δpower | 0.9708 | 4.79*** |
0.816
Persistence3d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9114 | 2.94*** |
α ARCH Response to squared shocks | 0.3551 | 13.09*** |
β GARCH Volatility persistence | 0.5337 | 15.76*** |
γ leverage Additional response to negative shocks | -0.1667 | -4.53*** |
δ power Transformation power | 0.9708 | 4.79*** |
Persistence:
0.816
Half-life:
3 days
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