V-Lab
State Street Financial Select Sector SPDR ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
13.90%
increased by 0.60%
1 Week
14.33%
increased by 1.03%
1 Month
15.64%
increased by 2.34%
Analysis last updated: Monday, July 27, 2026 at 09:44 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Jul 24, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 19 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0060 | 6.17*** |
α ARCH Response to squared shocks | 0.1166 | 9.12*** |
β GARCH Volatility persistence | 0.8475 | 56.47*** |
Spline Coefficients
K=7
| γ1 | -0.1615 | -4.14*** |
| γ2 | 0.3425 | 5.71*** |
| γ3 | -0.3213 | -6.33*** |
| γ4 | 0.1971 | 3.80*** |
| γ5 | -0.0459 | -0.91 |
| γ6 | -0.0367 | -0.80 |
| γ7 | 0.0374 | 1.17 |
Persistence:
0.964
Half-life:
19 days
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