V-Lab: Energy Select Sector SPDR Fund MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Energy Select Sector SPDR Fund MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, November 22nd, 2024:17.21% (-0.19%)

Analysis last updated: Thursday, November 21, 2024 at 11:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0044	2.45
$β$	0.8660	155.51
$γ$	0.1190	30.68
$λ_{1}$	0.0406	2.57
$λ_{2}$	0.1292	2.31
$λ_{3}$	0.8561	13.93

Estimation Period:
Dec 22, 1998 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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