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

V-Lab

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V-Lab

Health Care Select Sector SPDR Fund Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 6th, 2024:10.25% (+0.24%)

Analysis last updated: Tuesday, November 5, 2024 at 11:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1638	5.98
$α$	0.1035	7.94
$β$	0.8392	47.57
$γ_{1}$	-0.1521	-1.92
$γ_{2}$	0.1416	1.17
$γ_{3}$	0.1804	2.13
$γ_{4}$	-0.3688	-4.94
$γ_{5}$	0.3766	4.77
$γ_{6}$	-0.3278	-3.72
$γ_{7}$	0.2767	3.29
$γ_{8}$	-0.2102	-2.42
$γ_{9}$	0.0593	0.44

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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