GPS and INS can be integrated in 3 ways of loose, tight, and ultra-tight configuration. This paper investigates the performance of GPS/INS ultra-tightly integrated system when unscented Kalman filter(UKF) is adopted as well as extended Kalman filter(EKF). Covariance analysis is performed using UFK and EKF for tightly coupled and ultra-tightly coupled systems. Various trajectories such as straight, circle, S-shape, spiral are considered for the simulations of covariance analysis.