V-Lab: Health Care Select Sector SPDR Fund Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Health Care Select Sector SPDR Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 24th, 2024:13.51% (-0.56%)

Analysis last updated: Monday, December 23, 2024 at 10:42 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1642	5.92
$α$	0.1046	8.07
$β$	0.8386	47.90
$γ_{1}$	-0.1549	-1.97
$γ_{2}$	0.1505	1.24
$γ_{3}$	0.1649	1.96
$γ_{4}$	-0.3507	-4.76
$γ_{5}$	0.3626	4.67
$γ_{6}$	-0.3223	-3.71
$γ_{7}$	0.2836	3.49
$γ_{8}$	-0.2401	-3.47
$γ_{9}$	0.1499	2.96

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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