V-Lab: SPDR S&P 500 ETF Trust APARCH Volatility Analysis

V-Lab

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V-Lab

SPDR S&P 500 ETF Trust APARCH Volatility Analysis

Volatility Prediction for Wednesday, November 6th, 2024:13.14% (-0.78%)

Analysis last updated: Tuesday, November 5, 2024 at 11:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0336	36.92
$α$	0.0952	33.73
$β$	0.8997	339.13
$γ$	0.9348	23.95
$δ$	0.9338	37.76

Estimation Period:
Jan 29, 1993 to Nov 1, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts