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 Friday, November 22nd, 2024:19.93% (-0.85%)

Analysis last updated: Thursday, November 21, 2024 at 11:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1529	7.09
$α$	0.0928	9.69
$β$	0.8829	78.20
$γ_{1}$	-0.1202	-3.67
$γ_{2}$	0.2270	4.47
$γ_{3}$	-0.1774	-4.57
$γ_{4}$	0.0968	2.49
$γ_{5}$	0.0004	0.01
$γ_{6}$	-0.0508	-2.14

Estimation Period:
Dec 22, 1998 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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