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

V-Lab

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V-Lab

Consumer Discretionary Select Sector SPDR Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:16.88% (-0.01%)

Analysis last updated: Friday, April 26, 2024 at 10:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0847	6.60
$α$	0.0872	9.72
$β$	0.8894	84.38
$γ_{1}$	-0.1407	-3.78
$γ_{2}$	0.2567	4.57
$γ_{3}$	-0.1891	-4.75
$γ_{4}$	0.0960	2.49
$γ_{5}$	0.0078	0.22
$γ_{6}$	-0.0558	-2.17

Estimation Period:
Dec 23, 1998 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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