V-Lab
State Street Consumer Discretionary Select Sector SPDR ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
16.50%
decreased by 0.45%
1 Week
17.00%
increased by 0.05%
1 Month
18.62%
increased by 1.67%
Analysis last updated: Monday, October 5, 2026 at 09:53 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Oct 2, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 27 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0706 | 6.84*** |
| αARCH | 0.0916 | 9.72*** |
| βGARCH | 0.8829 | 78.82*** |
Spline Coefficients
K=7
| γ1 | -0.1699 | -4.39*** |
| γ2 | 0.3073 | 5.05*** |
| γ3 | -0.2156 | -4.32*** |
| γ4 | 0.0902 | 1.83* |
| γ5 | 0.0244 | 0.50 |
| γ6 | -0.0478 | -0.99 |
| γ7 | 0.0009 | 0.03 |
0.974
Persistence27d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0706 | 6.84*** |
α ARCH Response to squared shocks | 0.0916 | 9.72*** |
β GARCH Volatility persistence | 0.8829 | 78.82*** |
Spline Coefficients
K=7
| γ1 | -0.1699 | -4.39*** |
| γ2 | 0.3073 | 5.05*** |
| γ3 | -0.2156 | -4.32*** |
| γ4 | 0.0902 | 1.83* |
| γ5 | 0.0244 | 0.50 |
| γ6 | -0.0478 | -0.99 |
| γ7 | 0.0009 | 0.03 |
Persistence:
0.974
Half-life:
27 days
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