State Street Financial Select Sector SPDR ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
14.17%
increased by 0.11%
1 Week
14.54%
increased by 0.48%
1 Month
15.66%
increased by 1.60%
Analysis last updated: Monday, October 19, 2026 at 09:58 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Oct 16, 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
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9958 | 6.13*** |
| αARCH | 0.1160 | 9.14*** |
| βGARCH | 0.8475 | 56.56*** |
Spline Coefficients
K=7
| γ1 | -0.1594 | -4.19*** |
| γ2 | 0.3389 | 5.86*** |
| γ3 | -0.3227 | -6.73*** |
| γ4 | 0.2056 | 4.16*** |
| γ5 | -0.0557 | -1.15 |
| γ6 | -0.0326 | -0.73 |
| γ7 | 0.0384 | 1.24 |
0.963
Persistence19d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9958 | 6.13*** |
α ARCH Response to squared shocks | 0.1160 | 9.14*** |
β GARCH Volatility persistence | 0.8475 | 56.56*** |
Spline Coefficients
K=7
| γ1 | -0.1594 | -4.19*** |
| γ2 | 0.3389 | 5.86*** |
| γ3 | -0.3227 | -6.73*** |
| γ4 | 0.2056 | 4.16*** |
| γ5 | -0.0557 | -1.15 |
| γ6 | -0.0326 | -0.73 |
| γ7 | 0.0384 | 1.24 |
Persistence:
0.963
Half-life:
19 days
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