V-Lab: Consumer Discretionary Select Sector SPDR Fund MF2-GARCH Volatility Analysis

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V-Lab

Consumer Discretionary Select Sector SPDR Fund MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 5th, 2024:16.72% (-0.43%)

Analysis last updated: Monday, November 4, 2024 at 10:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0000	0.00
$β$	0.8627	265.70
$γ$	0.1515	39.06
$λ_{1}$	0.0472	3.39
$λ_{2}$	0.3486	3.73
$λ_{3}$	0.6233	6.13

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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