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

V-Lab

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V-Lab

Health Care Select Sector SPDR Fund Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:10.79% (-0.56%)

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
$ω$	1.2116	5.37
$α$	0.0999	7.56
$β$	0.8539	52.67
$γ_{1}$	-0.1108	-3.11
$γ_{2}$	0.1978	3.82
$γ_{3}$	-0.1270	-3.70
$γ_{4}$	0.0517	1.52
$γ_{5}$	0.0047	0.16
$γ_{6}$	-0.0746	-1.71

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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