V-Lab
State Street Utilities Select Sector SPDR ETF EGARCH Volatility Analysis
Volatility prediction for Wednesday, October 7th, 2026
1 Day
18.03%
increased by 1.44%
1 Week
18.04%
increased by 1.45%
1 Month
18.10%
increased by 1.51%
Analysis last updated: Tuesday, October 6, 2026 at 09:55 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 2, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 108% more than equivalent positive returns.
σ
EGARCH Model
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Leverage: Negative returns increase volatility 108% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0064 | 1.45 |
| αARCH | 0.1581 | 8.45*** |
| βGARCH | 0.9786 | 263.27*** |
| γleverage | -0.0555 | -3.37*** |
0.979
Persistence32d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0064 | 1.45 |
α ARCH Response to squared shocks | 0.1581 | 8.45*** |
β GARCH Volatility persistence | 0.9786 | 263.27*** |
γ leverage Additional response to negative shocks | -0.0555 | -3.37*** |
Persistence:
0.979
Half-life:
32 days
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