V-Lab
State Street Financial Select Sector SPDR ETF Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
15.52%
decreased by 0.17%
1 Week
15.85%
increased by 0.16%
1 Month
16.86%
increased by 1.17%
Analysis last updated: Friday, September 4, 2026 at 11:00 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
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0009 | 6.14*** |
α ARCH Response to squared shocks | 0.1166 | 9.16*** |
β GARCH Volatility persistence | 0.8473 | 56.63*** |
Spline Coefficients
K=7
| γ1 | -0.1631 | -4.23*** |
| γ2 | 0.3457 | 5.86*** |
| γ3 | -0.3263 | -6.57*** |
| γ4 | 0.2040 | 3.98*** |
| γ5 | -0.0507 | -0.99 |
| γ6 | -0.0391 | -0.78 |
| γ7 | 0.0516 | 0.88 |
Persistence:
0.964
Half-life:
19 days
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