State Street Consumer Staples Select Sector SPDR ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
23.25%
increased by 0.87%
1 Week
22.80%
increased by 0.42%
1 Month
21.29%
decreased by 1.09%
Analysis last updated: Friday, October 23, 2026 at 11:41 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 23, 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 | 1.8201 | 9.43*** |
| αARCH | 0.1093 | 9.74*** |
| βGARCH | 0.8558 | 62.28*** |
Spline Coefficients
K=2
| γ1 | 0.0111 | 6.19*** |
| γ2 | -0.0132 | -5.81*** |
0.965
Persistence20d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.8201 | 9.43*** |
α ARCH Response to squared shocks | 0.1093 | 9.74*** |
β GARCH Volatility persistence | 0.8558 | 62.28*** |
Spline Coefficients
K=2
| γ1 | 0.0111 | 6.19*** |
| γ2 | -0.0132 | -5.81*** |
Persistence:
0.965
Half-life:
20 days
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