V-Lab
ProShares Ultra VIX Short-Term Futures ETF GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
71.02%
decreased by 0.69%
1 Week
81.15%
increased by 9.44%
1 Month
101.33%
increased by 29.62%
Analysis last updated: Monday, October 5, 2026 at 09:23 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 1, 2011 to Oct 2, 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
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Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.0000 | 5.11*** |
| αARCH | 0.3415 | 5.05*** |
| βGARCH | 0.7322 | 28.52*** |
| γleverage | -0.3148 | -4.24*** |
0.916
Persistence8d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 5.11*** |
α ARCH Response to squared shocks | 0.3415 | 5.05*** |
β GARCH Volatility persistence | 0.7322 | 28.52*** |
γ leverage Additional response to negative shocks | -0.3148 | -4.24*** |
Persistence:
0.916
Half-life:
8 days
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