V-Lab
State Street Technology Select Sector SPDR ETF AGARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
20.33%
decreased by 1.15%
1 Week
20.55%
decreased by 0.93%
1 Month
21.31%
decreased by 0.17%
Analysis last updated: Saturday, September 12, 2026 at 12:04 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Sep 11, 2026Model Insight
The news-impact curve is shifted (γ = 0.66) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
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Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0036 | 0.20 |
| αARCH | 0.0952 | 9.15*** |
| βGARCH | 0.8885 | 86.61*** |
| γleverage | 0.6580 | 3.67*** |
0.984
Persistence42d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0036 | 0.20 |
α ARCH Response to squared shocks | 0.0952 | 9.15*** |
β GARCH Volatility persistence | 0.8885 | 86.61*** |
γ leverage Additional response to negative shocks | 0.6580 | 3.67*** |
Persistence:
0.984
Half-life:
42 days
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