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 Friday, November 22nd, 2024:14.51% (-0.34%)

Analysis last updated: Thursday, November 21, 2024 at 11:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1823	6.03
$α$	0.1043	8.03
$β$	0.8390	47.80
$γ_{1}$	-0.1471	-1.85
$γ_{2}$	0.1380	1.13
$γ_{3}$	0.1736	2.05
$γ_{4}$	-0.3569	-4.79
$γ_{5}$	0.3655	4.64
$γ_{6}$	-0.3223	-3.68
$γ_{7}$	0.2822	3.46
$γ_{8}$	-0.2383	-3.40
$γ_{9}$	0.1487	2.89

Estimation Period:
Dec 22, 1998 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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