V-Lab
ProShares Ultra VIX Short-Term Futures ETF EGARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
90.77%
decreased by 4.51%
1 Week
95.05%
decreased by 0.23%
1 Month
104.84%
increased by 9.56%
Analysis last updated: Friday, September 11, 2026 at 10:22 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 8, 2011 to Sep 11, 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.
σ
EGARCH Model
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Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.4215 | 5.33*** |
| αARCH | 0.2509 | 6.70*** |
| βGARCH | 0.8935 | 51.86*** |
| γleverage | 0.1968 | 5.83*** |
0.894
Persistence6d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4215 | 5.33*** |
α ARCH Response to squared shocks | 0.2509 | 6.70*** |
β GARCH Volatility persistence | 0.8935 | 51.86*** |
γ leverage Additional response to negative shocks | 0.1968 | 5.83*** |
Persistence:
0.894
Half-life:
6 days
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