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

V-Lab

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V-Lab

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

Volatility Prediction for Monday, May 13th, 2024:20.31% (-0.79%)

Analysis last updated: Friday, May 10, 2024 at 10:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9246	5.72
$α$	0.0919	9.33
$β$	0.8761	71.57
$γ_{1}$	-0.1956	-5.61
$γ_{2}$	0.3159	6.40
$γ_{3}$	-0.1906	-6.10
$γ_{4}$	0.1192	3.62
$γ_{5}$	-0.0496	-1.54
$γ_{6}$	-0.0134	-0.58

Estimation Period:
Dec 22, 1998 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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