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

V-Lab

Health Care Select Sector SPDR Fund MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 16th, 2025:13.22% (-0.07%)

Analysis last updated: Friday, June 13, 2025 at 11:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.0179	4.19
$β$	0.8468	191.81
$γ$	0.1638	30.25
$λ_{1}$	0.0051	9.27
$λ_{2}$	0.0178	7.06
$λ_{3}$	0.9774	335.20

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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