V-Lab
ProShares Ultra VIX Short-Term Futures ETF GJR-GARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
85.94%
decreased by 2.69%
1 Week
92.85%
increased by 4.22%
1 Month
107.85%
increased by 19.22%
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, 2026Boundary Parameters
Model 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
GJR-GARCH Model
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Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.0000 | 4.99*** |
| αARCH | 0.3616 | 4.84*** |
| βGARCH | 0.7203 | 26.93*** |
| γleverage | -0.3239 | -4.01*** |
0.920
Persistence8d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 4.99*** |
α ARCH Response to squared shocks | 0.3616 | 4.84*** |
β GARCH Volatility persistence | 0.7203 | 26.93*** |
γ leverage Additional response to negative shocks | -0.3239 | -4.01*** |
Persistence:
0.920
Half-life:
8 days
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