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

V-Lab

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V-Lab

Health Care Select Sector SPDR Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:11.60% (-0.51%)

Analysis last updated: Friday, April 26, 2024 at 10:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1486	5.54
$α$	0.0980	7.74
$β$	0.8514	50.22
$γ_{1}$	-0.1464	-1.68
$γ_{2}$	0.1133	0.88
$γ_{3}$	0.2186	2.43
$γ_{4}$	-0.3735	-4.47
$γ_{5}$	0.3328	3.80
$γ_{6}$	-0.2543	-2.76
$γ_{7}$	0.2051	2.52
$γ_{8}$	-0.1695	-2.23
$γ_{9}$	0.1021	1.82

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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