V-Lab: Materials Select Sector SPDR Fund Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Materials Select Sector SPDR Fund Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:13.83% (-0.36%)

Analysis last updated: Thursday, May 2, 2024 at 10:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0394	6.91
$α$	0.0858	8.54
$β$	0.8799	63.33
$γ_{1}$	-0.0939	-2.92
$γ_{2}$	0.1910	3.98
$γ_{3}$	-0.1887	-5.83
$γ_{4}$	0.1353	4.34
$γ_{5}$	-0.0160	-0.48
$γ_{6}$	-0.1059	-2.32

Estimation Period:
Dec 22, 1998 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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