V-Lab: Consumer Staples Select Sector SPDR Fund MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Consumer Staples Select Sector SPDR Fund MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 5th, 2024:9.87% (-0.47%)

Analysis last updated: Monday, November 4, 2024 at 10:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0216	6.92
$β$	0.8332	161.91
$γ$	0.1531	30.27
$λ_{1}$	0.0116	6.67
$λ_{2}$	0.0797	8.80
$λ_{3}$	0.9045	84.34

Estimation Period:
Dec 22, 1998 to Nov 1, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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