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 Friday, November 22nd, 2024:16.98% (+0.39%)

Analysis last updated: Thursday, November 21, 2024 at 11:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8204	6.37
$α$	0.0947	8.55
$β$	0.8695	57.81
$γ_{1}$	-0.1563	-4.10
$γ_{2}$	0.2772	4.97
$γ_{3}$	-0.2127	-6.24
$γ_{4}$	0.1449	4.52
$γ_{5}$	-0.0642	-2.19
$γ_{6}$	0.0089	0.43

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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