State Street Industrial Select Sector SPDR ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, November 10th, 2026
1 Day
29.78%
increased by 5.02%
1 Week
29.04%
increased by 4.28%
1 Month
26.62%
increased by 1.86%
Analysis last updated: Monday, November 9, 2026 at 10:52 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Nov 6, 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 17 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 | 0.7686 | 5.87*** |
| αARCH | 0.0973 | 8.73*** |
| βGARCH | 0.8636 | 57.31*** |
Spline Coefficients
K=7
| γ1 | -0.2038 | -4.45*** |
| γ2 | 0.3469 | 5.20*** |
| γ3 | -0.2303 | -5.29*** |
| γ4 | 0.1089 | 2.67*** |
| γ5 | 0.0085 | 0.20 |
| γ6 | -0.0609 | -1.47 |
| γ7 | 0.0398 | 1.36 |
0.961
Persistence17d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7686 | 5.87*** |
α ARCH Response to squared shocks | 0.0973 | 8.73*** |
β GARCH Volatility persistence | 0.8636 | 57.31*** |
Spline Coefficients
K=7
| γ1 | -0.2038 | -4.45*** |
| γ2 | 0.3469 | 5.20*** |
| γ3 | -0.2303 | -5.29*** |
| γ4 | 0.1089 | 2.67*** |
| γ5 | 0.0085 | 0.20 |
| γ6 | -0.0609 | -1.47 |
| γ7 | 0.0398 | 1.36 |
Persistence:
0.961
Half-life:
17 days
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