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, December 24th, 2024:17.42% (-0.67%)

Analysis last updated: Monday, December 23, 2024 at 10:42 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8185	6.39
$α$	0.0942	8.53
$β$	0.8698	57.87
$γ_{1}$	-0.1546	-4.09
$γ_{2}$	0.2742	4.96
$γ_{3}$	-0.2109	-6.26
$γ_{4}$	0.1449	4.56
$γ_{5}$	-0.0654	-2.25
$γ_{6}$	0.0098	0.48

Estimation Period:
Dec 22, 1998 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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