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

V-Lab

Health Care Select Sector SPDR Fund Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 20th, 2025:15.85% (-0.70%)

Analysis last updated: Wednesday, June 18, 2025 at 11:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1623	5.88
$α$	0.1063	8.08
$β$	0.8365	47.38
$γ_{1}$	-0.1605	-2.15
$γ_{2}$	0.1714	1.50
$γ_{3}$	0.1300	1.63
$γ_{4}$	-0.3182	-4.63
$γ_{5}$	0.3467	4.90
$γ_{6}$	-0.3254	-4.01
$γ_{7}$	0.3066	3.74
$γ_{8}$	-0.3015	-3.75
$γ_{9}$	0.3539	2.37

Estimation Period:
Dec 22, 1998 to Jun 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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