V-Lab
State Street Financial Select Sector SPDR ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
16.36%
increased by 1.07%
1 Week
16.56%
increased by 1.27%
1 Month
17.17%
increased by 1.88%
Analysis last updated: Tuesday, September 8, 2026 at 10:46 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Sep 4, 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 | 1.0053 | 6.17*** |
| αARCH | 0.1165 | 9.15*** |
| βGARCH | 0.8473 | 56.54*** |
Spline Coefficients
K=7
| γ1 | -0.1602 | -4.16*** |
| γ2 | 0.3408 | 5.78*** |
| γ3 | -0.3230 | -6.54*** |
| γ4 | 0.2024 | 3.99*** |
| γ5 | -0.0515 | -1.04 |
| γ6 | -0.0346 | -0.76 |
| γ7 | 0.0381 | 1.22 |
0.964
Persistence19d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0053 | 6.17*** |
α ARCH Response to squared shocks | 0.1165 | 9.15*** |
β GARCH Volatility persistence | 0.8473 | 56.54*** |
Spline Coefficients
K=7
| γ1 | -0.1602 | -4.16*** |
| γ2 | 0.3408 | 5.78*** |
| γ3 | -0.3230 | -6.54*** |
| γ4 | 0.2024 | 3.99*** |
| γ5 | -0.0515 | -1.04 |
| γ6 | -0.0346 | -0.76 |
| γ7 | 0.0381 | 1.22 |
Persistence:
0.964
Half-life:
19 days
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