State Street Technology Select Sector SPDR ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
29.14%
increased by 4.05%
1 Week
28.97%
increased by 3.88%
1 Month
28.40%
increased by 3.31%
Analysis last updated: Thursday, October 22, 2026 at 09:42 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Oct 16, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 20 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8803 | 5.54*** |
| αARCH | 0.0993 | 9.80*** |
| βGARCH | 0.8662 | 68.74*** |
Spline Coefficients
K=7
| γ1 | -0.2424 | -6.03*** |
| γ2 | 0.3821 | 6.73*** |
| γ3 | -0.2080 | -5.23*** |
| γ4 | 0.0993 | 2.39** |
| γ5 | -0.0096 | -0.23 |
| γ6 | -0.0390 | -0.98 |
| γ7 | 0.0129 | 0.44 |
0.966
Persistence20d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8803 | 5.54*** |
α ARCH Response to squared shocks | 0.0993 | 9.80*** |
β GARCH Volatility persistence | 0.8662 | 68.74*** |
Spline Coefficients
K=7
| γ1 | -0.2424 | -6.03*** |
| γ2 | 0.3821 | 6.73*** |
| γ3 | -0.2080 | -5.23*** |
| γ4 | 0.0993 | 2.39** |
| γ5 | -0.0096 | -0.23 |
| γ6 | -0.0390 | -0.98 |
| γ7 | 0.0129 | 0.44 |
Persistence:
0.966
Half-life:
20 days
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