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

V-Lab

Financial Select Sector SPDR Fund MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:17.22% (-0.74%)

Analysis last updated: Saturday, May 31, 2025 at 03:47 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	46
$α$	0.0249	7.37
$β$	0.8303	188.50
$γ$	0.1900	35.61
$λ_{1}$	0.0079	9.30
$λ_{2}$	0.0316	8.59
$λ_{3}$	0.9645	230.24

Estimation Period:
Dec 22, 1998 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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