V-Lab: State Street Utilities Select Sector SPDR ETF Zero Slope Spline-GARCH Volatility Analysis

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State Street Utilities Select Sector SPDR ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 8th, 2025:395.43% (+319.51%)

Analysis last updated: Saturday, December 6, 2025 at 01:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3599	4.77
$α$	0.1211	6.33
$β$	0.8756	44.59
$γ_{1}$	-0.2108	-0.92
$γ_{2}$	0.1973	0.60
$γ_{3}$	0.1757	0.78
$γ_{4}$	-0.3580	-1.68
$γ_{5}$	0.3076	1.61
$γ_{6}$	-0.0343	-0.18
$γ_{7}$	-0.4568	-1.65
$γ_{8}$	-0.7960	-0.77
$γ_{9}$	4.5796	1.50
$γ_{10}$	-5.3486	-1.69

Estimation Period:
Dec 22, 1998 to Dec 5, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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