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

V-Lab

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

Volatility Prediction for Monday, June 23rd, 2025:12.84% (-0.50%)

Analysis last updated: Friday, June 20, 2025 at 11:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1831	5.93
$α$	0.1076	7.99
$β$	0.8358	47.89
$γ_{1}$	-0.1553	-2.07
$γ_{2}$	0.1669	1.45
$γ_{3}$	0.1243	1.55
$γ_{4}$	-0.3051	-4.42
$γ_{5}$	0.3285	4.62
$γ_{6}$	-0.3024	-3.70
$γ_{7}$	0.2721	3.35
$γ_{8}$	-0.2272	-3.33
$γ_{9}$	0.1365	2.70

Estimation Period:
Dec 22, 1998 to Jun 20, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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