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

V-Lab

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V-Lab

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

Volatility Prediction for Thursday, November 21st, 2024:85.13% (-3.59%)

Analysis last updated: Thursday, November 21, 2024 at 10:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8927	6.52
$α$	0.2344	7.09
$β$	0.5911	12.87
$γ_{1}$	0.3489	3.87
$γ_{2}$	-0.5380	-3.88
$γ_{3}$	0.3366	3.28
$γ_{4}$	-0.2660	-2.59
$γ_{5}$	0.1783	2.37

Estimation Period:
Nov 8, 2011 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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