V-Lab: Consumer Discretionary Select Sector SPDR Fund Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Consumer Discretionary Select Sector SPDR Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 25th, 2024:17.45% (-0.01%)

Analysis last updated: Wednesday, April 24, 2024 at 10:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0830	6.60
$α$	0.0872	9.71
$β$	0.8892	84.20
$γ_{1}$	-0.1412	-3.79
$γ_{2}$	0.2575	4.58
$γ_{3}$	-0.1895	-4.75
$γ_{4}$	0.0956	2.48
$γ_{5}$	0.0089	0.25
$γ_{6}$	-0.0569	-2.21

Estimation Period:
Dec 23, 1998 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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