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, June 30th, 2025:14.79% (+0.31%)

Analysis last updated: Friday, June 27, 2025 at 11:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8431	6.59
$α$	0.0992	8.69
$β$	0.8636	57.02
$γ_{1}$	-0.1415	-3.97
$γ_{2}$	0.2532	4.82
$γ_{3}$	-0.1997	-6.19
$γ_{4}$	0.1443	4.64
$γ_{5}$	-0.0730	-2.55
$γ_{6}$	0.0166	0.84

Estimation Period:
Dec 22, 1998 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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