ProShares Ultra VIX Short-Term Futures ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
107.83%
increased by 23.61%
1 Week
109.76%
increased by 25.54%
1 Month
113.97%
increased by 29.75%
Analysis last updated: Friday, July 17, 2026 at 09:47 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 8, 2011 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 7 trading days, meaning a shock loses half its impact after approximately 7 days. Returns follow a Student-t distribution with v = 5.43 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 55.7710 | 11.83*** |
α ARCH Response to squared shocks | 0.2029 | 20.95*** |
β GARCH Volatility persistence | 0.9047 | 108.32*** |
ν DF Student-t tail thickness | 5.4279 | 7.93*** |
Persistence:
0.905
Half-life:
7 days
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