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, May 7th, 2024:20.56% (-0.22%)

Analysis last updated: Monday, May 6, 2024 at 10:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0851	6.62
$α$	0.0872	9.71
$β$	0.8891	84.13
$γ_{1}$	-0.1400	-3.78
$γ_{2}$	0.2555	4.57
$γ_{3}$	-0.1883	-4.76
$γ_{4}$	0.0952	2.49
$γ_{5}$	0.0093	0.27
$γ_{6}$	-0.0579	-2.28

Estimation Period:
Dec 23, 1998 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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