V-Lab: SPDR S&P 500 ETF Trust Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

SPDR S&P 500 ETF Trust Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 24th, 2024:16.75% (-0.69%)

Analysis last updated: Monday, December 23, 2024 at 10:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7505	4.62
$α$	0.1100	9.86
$β$	0.8549	64.99
$γ_{1}$	0.0797	2.26
$γ_{2}$	-0.1832	-3.77
$γ_{3}$	0.1877	6.65
$γ_{4}$	-0.1415	-4.41
$γ_{5}$	0.0794	2.22
$γ_{6}$	-0.0077	-0.24
$γ_{7}$	-0.0268	-1.18

Estimation Period:
Jan 29, 1993 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts