V-Lab
ProShares Ultra VIX Short-Term Futures ETF GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
75.68%
increased by 1.13%
1 Week
84.89%
increased by 10.34%
1 Month
103.99%
increased by 29.44%
Analysis last updated: Tuesday, September 8, 2026 at 10:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 8, 2011 to Sep 4, 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
GJR-GARCH Model
Tap to view equation
Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.0000 | 4.98*** |
| αARCH | 0.3611 | 4.83*** |
| βGARCH | 0.7205 | 26.94*** |
| γleverage | -0.3235 | -4.01*** |
0.920
Persistence8d
Half-lifeσ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 4.98*** |
α ARCH Response to squared shocks | 0.3611 | 4.83*** |
β GARCH Volatility persistence | 0.7205 | 26.94*** |
γ leverage Additional response to negative shocks | -0.3235 | -4.01*** |
Persistence:
0.920
Half-life:
8 days
Other ProShares Ultra VIX Short-Term Futures ETF Analyses
Other GJR-GARCH Analyses on ETFs