V-Lab: Industrial Select Sector SPDR Fund Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Industrial Select Sector SPDR Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 5th, 2024:12.22% (-0.37%)

Analysis last updated: Monday, November 4, 2024 at 10:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8201	6.32
$α$	0.0940	8.56
$β$	0.8711	59.11
$γ_{1}$	-0.1578	-4.07
$γ_{2}$	0.2796	4.94
$γ_{3}$	-0.2142	-6.19
$γ_{4}$	0.1462	4.49
$γ_{5}$	-0.0671	-2.27
$γ_{6}$	0.0129	0.63

Estimation Period:
Dec 22, 1998 to Nov 1, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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