V-Lab: Consumer Discretionary Select Sector SPDR Fund Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Consumer Discretionary Select Sector SPDR Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 24th, 2024:24.59% (-1.22%)

Analysis last updated: Monday, December 23, 2024 at 10:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1555	7.12
$α$	0.0925	9.68
$β$	0.8833	78.41
$γ_{1}$	-0.1178	-3.62
$γ_{2}$	0.2229	4.42
$γ_{3}$	-0.1747	-4.54
$γ_{4}$	0.0958	2.47
$γ_{5}$	0.0011	0.03
$γ_{6}$	-0.0522	-2.21

Estimation Period:
Dec 22, 1998 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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