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, November 5th, 2024:10.62% (+0.11%)

Analysis last updated: Monday, November 4, 2024 at 10:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1819	6.04
$α$	0.1036	8.01
$β$	0.8400	48.08
$γ_{1}$	-0.1468	-1.84
$γ_{2}$	0.1367	1.12
$γ_{3}$	0.1762	2.07
$γ_{4}$	-0.3594	-4.79
$γ_{5}$	0.3668	4.62
$γ_{6}$	-0.3229	-3.66
$γ_{7}$	0.2831	3.46
$γ_{8}$	-0.2414	-3.42
$γ_{9}$	0.1529	2.93

Estimation Period:
Dec 22, 1998 to Nov 1, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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