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 Friday, November 22nd, 2024:18.49% (+0.38%)

Analysis last updated: Thursday, November 21, 2024 at 11:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1341	3.93
$α$	0.1442	6.09
$β$	0.8130	34.53
$γ_{1}$	-0.0904	-0.89
$γ_{2}$	0.0547	0.37
$γ_{3}$	0.3074	3.06
$γ_{4}$	-0.5971	-5.84
$γ_{5}$	0.4716	4.11
$γ_{6}$	-0.1099	-1.24
$γ_{7}$	-0.1252	-1.04
$γ_{8}$	0.1378	0.72
$γ_{9}$	-0.0540	-0.41

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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