V-Lab: Utilities Select Sector SPDR Fund MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Utilities Select Sector SPDR Fund MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:14.41% (-0.03%)

Analysis last updated: Wednesday, May 8, 2024 at 10:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0373	7.83
$β$	0.8022	81.32
$γ$	0.1128	18.06
$λ_{1}$	0.0099	4.58
$λ_{2}$	0.0519	4.55
$λ_{3}$	0.9397	73.92

Estimation Period:
Dec 22, 1998 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Utilities Select Sector SPDR Fund Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T