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

V-Lab

| |

V-Lab

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

Volatility Prediction for Monday, April 29th, 2024:12.56% (+0.37%)

Analysis last updated: Friday, April 26, 2024 at 10:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7711	4.31
$α$	0.1095	9.41
$β$	0.8497	59.58
$γ_{1}$	0.1234	1.89
$γ_{2}$	-0.1742	-1.86
$γ_{3}$	-0.0416	-0.70
$γ_{4}$	0.2496	4.85
$γ_{5}$	-0.2833	-4.84
$γ_{6}$	0.1707	2.42
$γ_{7}$	-0.0494	-0.65
$γ_{8}$	0.0598	0.71
$γ_{9}$	-0.1768	-1.77

Estimation Period:
Jan 29, 1993 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts