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 Friday, May 23rd, 2025:89.59% (-13.78%)

Analysis last updated: Friday, May 23, 2025 at 09:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8443	6.42
$α$	0.2356	7.41
$β$	0.5951	13.30
$γ_{1}$	0.3059	3.69
$γ_{2}$	-0.4683	-3.66
$γ_{3}$	0.2806	2.97
$γ_{4}$	-0.1915	-1.95
$γ_{5}$	0.1042	1.31

Estimation Period:
Nov 8, 2011 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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