V-Lab
State Street Financial Select Sector SPDR ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, September 30th, 2026
1 Day
14.93%
decreased by 0.68%
1 Week
15.24%
decreased by 0.37%
1 Month
16.18%
increased by 0.57%
Analysis last updated: Tuesday, September 29, 2026 at 09:59 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Sep 25, 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 | 1.0158 | 6.27*** |
| αARCH | 0.1159 | 9.14*** |
| βGARCH | 0.8479 | 56.77*** |
Spline Coefficients
K=7
| γ1 | -0.1567 | -4.12*** |
| γ2 | 0.3351 | 5.76*** |
| γ3 | -0.3194 | -6.54*** |
| γ4 | 0.2010 | 4.00*** |
| γ5 | -0.0520 | -1.06 |
| γ6 | -0.0338 | -0.75 |
| γ7 | 0.0379 | 1.21 |
0.964
Persistence19d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0158 | 6.27*** |
α ARCH Response to squared shocks | 0.1159 | 9.14*** |
β GARCH Volatility persistence | 0.8479 | 56.77*** |
Spline Coefficients
K=7
| γ1 | -0.1567 | -4.12*** |
| γ2 | 0.3351 | 5.76*** |
| γ3 | -0.3194 | -6.54*** |
| γ4 | 0.2010 | 4.00*** |
| γ5 | -0.0520 | -1.06 |
| γ6 | -0.0338 | -0.75 |
| γ7 | 0.0379 | 1.21 |
Persistence:
0.964
Half-life:
19 days
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