V-Lab: Financial Select Sector SPDR Fund Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Financial Select Sector SPDR Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 5th, 2024:14.46% (-0.09%)

Analysis last updated: Monday, November 4, 2024 at 10:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0715	4.08
$α$	0.1228	9.68
$β$	0.8438	59.73
$γ_{1}$	-0.1033	-2.42
$γ_{2}$	0.2365	4.02
$γ_{3}$	-0.2569	-7.58
$γ_{4}$	0.2070	6.16
$γ_{5}$	-0.1221	-3.95
$γ_{6}$	0.0509	2.36

Estimation Period:
Dec 21, 1998 to Nov 1, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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