V-Lab: Technology Select Sector SPDR Fund Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Technology Select Sector SPDR Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 9th, 2025:30.67% (-1.41%)

Analysis last updated: Thursday, May 8, 2025 at 09:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9972	6.18
$α$	0.0990	9.40
$β$	0.8684	67.68
$γ_{1}$	-0.1698	-4.92
$γ_{2}$	0.2783	5.58
$γ_{3}$	-0.1711	-5.62
$γ_{4}$	0.1105	3.47
$γ_{5}$	-0.0516	-1.61
$γ_{6}$	-0.0100	-0.43

Estimation Period:
Dec 22, 1998 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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