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

V-Lab

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

Volatility Prediction for Wednesday, July 2nd, 2025:12.51% (-0.54%)

Analysis last updated: Tuesday, July 1, 2025 at 09:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7422	4.66
$α$	0.1133	9.80
$β$	0.8505	63.50
$γ_{1}$	0.0742	2.19
$γ_{2}$	-0.1732	-3.70
$γ_{3}$	0.1818	6.86
$γ_{4}$	-0.1432	-5.01
$γ_{5}$	0.0890	2.67
$γ_{6}$	-0.0184	-0.60
$γ_{7}$	-0.0217	-0.99

Estimation Period:
Jan 29, 1993 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts