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, January 31st, 2025:31.56% (-1.57%)

Analysis last updated: Thursday, January 30, 2025 at 11:00 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8212	6.44
$α$	0.0940	8.52
$β$	0.8699	57.85
$γ_{1}$	-0.1529	-4.08
$γ_{2}$	0.2717	4.95
$γ_{3}$	-0.2101	-6.29
$γ_{4}$	0.1457	4.61
$γ_{5}$	-0.0676	-2.34
$γ_{6}$	0.0118	0.58

Estimation Period:
Dec 22, 1998 to Jan 24, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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