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

V-Lab

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V-Lab

Technology Select Sector SPDR Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:20.35% (-0.08%)

Analysis last updated: Friday, April 26, 2024 at 09:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9215	5.69
$α$	0.0920	9.33
$β$	0.8759	71.49
$γ_{1}$	-0.1970	-5.62
$γ_{2}$	0.3179	6.42
$γ_{3}$	-0.1914	-6.09
$γ_{4}$	0.1191	3.60
$γ_{5}$	-0.0488	-1.51
$γ_{6}$	-0.0141	-0.61

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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