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

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V-Lab

Utilities Select Sector SPDR Fund MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, January 31st, 2025:23.99% (-0.34%)

Analysis last updated: Thursday, January 30, 2025 at 10:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0338	8.48
$β$	0.8328	149.11
$γ$	0.1022	20.42
$λ_{1}$	0.0315	4.41
$λ_{2}$	0.1582	5.91
$λ_{3}$	0.8146	25.07

Estimation Period:
Dec 22, 1998 to Jan 24, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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