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

V-Lab

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

Volatility Prediction for Monday, September 22nd, 2025:13.11% (-0.44%)

Analysis last updated: Friday, September 19, 2025 at 11:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8607	6.70
$α$	0.0983	8.70
$β$	0.8652	58.00
$γ_{1}$	-0.1351	-3.84
$γ_{2}$	0.2433	4.68
$γ_{3}$	-0.1947	-6.07
$γ_{4}$	0.1447	4.62
$γ_{5}$	-0.0798	-2.77
$γ_{6}$	0.0245	1.25

Estimation Period:
Dec 22, 1998 to Sep 19, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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