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

V-Lab

V-Lab

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

Volatility Prediction for Monday, April 7th, 2025:32.16% (+18.02%)

Analysis last updated: Friday, April 4, 2025 at 11:00 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1715	5.89
$α$	0.1069	7.85
$β$	0.8361	46.80
$γ_{1}$	-0.1568	-2.04
$γ_{2}$	0.1625	1.38
$γ_{3}$	0.1404	1.72
$γ_{4}$	-0.3247	-4.58
$γ_{5}$	0.3446	4.66
$γ_{6}$	-0.3125	-3.72
$γ_{7}$	0.2764	3.41
$γ_{8}$	-0.2268	-3.31
$γ_{9}$	0.1339	2.64

Estimation Period:
Dec 22, 1998 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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