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

V-Lab

Utilities Select Sector SPDR Fund MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 16th, 2025:17.35% (-0.04%)

Analysis last updated: Friday, June 13, 2025 at 11:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0312	7.64
$β$	0.8304	143.64
$γ$	0.1037	20.70
$λ_{1}$	0.0377	3.80
$λ_{2}$	0.1896	5.34
$λ_{3}$	0.7782	17.80

Estimation Period:
Dec 22, 1998 to Jun 13, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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