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

V-Lab

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V-Lab

Utilities Select Sector SPDR Fund MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 24th, 2024:18.42% (-0.75%)

Analysis last updated: Monday, December 23, 2024 at 10:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0326	8.14
$β$	0.8334	148.84
$γ$	0.1035	20.62
$λ_{1}$	0.0317	4.36
$λ_{2}$	0.1580	5.81
$λ_{3}$	0.8143	24.62

Estimation Period:
Dec 22, 1998 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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