V-Lab
ProShares Ultra VIX Short-Term Futures ETF AGARCH Volatility Analysis
Volatility prediction for Tuesday, September 15th, 2026
1 Day
88.48%
decreased by 4.29%
1 Week
97.01%
increased by 4.24%
1 Month
112.03%
increased by 19.26%
Analysis last updated: Monday, September 14, 2026 at 09:22 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 1, 2011 to Sep 11, 2026Model Insight
The news-impact curve is shifted (γ = -4.42) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
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Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.4258 | 3.37*** |
| αARCH | 0.1935 | 9.11*** |
| βGARCH | 0.6886 | 37.22*** |
| γleverage | -4.4157 | -6.47*** |
0.882
Persistence6d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.4258 | 3.37*** |
α ARCH Response to squared shocks | 0.1935 | 9.11*** |
β GARCH Volatility persistence | 0.6886 | 37.22*** |
γ leverage Additional response to negative shocks | -4.4157 | -6.47*** |
Persistence:
0.882
Half-life:
6 days
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