V-Lab: ProShares Ultra VIX Short-Term Futures ETF Zero Slope Spline-GARCH Volatility Analysis

V-Lab

ProShares Ultra VIX Short-Term Futures ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, July 3rd, 2025:86.41% (-1.39%)

Analysis last updated: Wednesday, July 2, 2025 at 09:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4938	3.51
$α$	0.2293	7.24
$β$	0.5834	12.56
$γ_{1}$	-0.2110	-0.51
$γ_{2}$	0.7838	1.37
$γ_{3}$	-1.0573	-2.85
$γ_{4}$	0.5999	1.48
$γ_{5}$	-0.0302	-0.07
$γ_{6}$	0.0149	0.03
$γ_{7}$	-0.5037	-1.11
$γ_{8}$	0.8872	2.43
$γ_{9}$	-0.6885	-2.79

Estimation Period:
Nov 8, 2011 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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