ProShares Ultra VIX Short-Term Futures ETF APARCH Volatility Analysis
Volatility prediction for Tuesday, October 13th, 2026
1 Day
71.40%
1 Week
80.76%
1 Month
102.89%
Analysis last updated: Monday, October 12, 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 Oct 9, 2026Model Insight
This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets. The volatility power δ = 1.00 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7070 | 2.75*** |
| αARCH | 0.1394 | 3.78*** |
| βGARCH | 0.8017 | 24.47*** |
| γleverage | -0.8915 | -3.21*** |
| δpower | 1.0018 | 5.40*** |
0.913
Persistence8d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7070 | 2.75*** |
α ARCH Response to squared shocks | 0.1394 | 3.78*** |
β GARCH Volatility persistence | 0.8017 | 24.47*** |
γ leverage Additional response to negative shocks | -0.8915 | -3.21*** |
δ power Transformation power | 1.0018 | 5.40*** |
Persistence:
0.913
Half-life:
8 days
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