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, May 8th, 2025:81.48% (-2.53%)

Analysis last updated: Thursday, May 8, 2025 at 09:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8529	6.41
$α$	0.2370	7.42
$β$	0.5943	13.24
$γ_{1}$	0.3103	3.70
$γ_{2}$	-0.4760	-3.69
$γ_{3}$	0.2887	3.03
$γ_{4}$	-0.2045	-2.07
$γ_{5}$	0.1179	1.48

Estimation Period:
Nov 8, 2011 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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