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, May 7th, 2024:14.58% (+0.32%)

Analysis last updated: Monday, May 6, 2024 at 10:00 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7588	5.33
$α$	0.0881	8.46
$β$	0.8775	63.36
$γ_{1}$	-0.1784	-3.70
$γ_{2}$	0.3075	4.46
$γ_{3}$	-0.2191	-5.79
$γ_{4}$	0.1342	4.09
$γ_{5}$	-0.0459	-1.54
$γ_{6}$	-0.0042	-0.20

Estimation Period:
Dec 22, 1998 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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