V-Lab
State Street Consumer Discretionary Select Sector SPDR ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, September 10th, 2026
1 Day
19.91%
increased by 0.35%
1 Week
20.21%
increased by 0.65%
1 Month
21.19%
increased by 1.63%
Analysis last updated: Wednesday, September 9, 2026 at 09:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Sep 4, 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 | 1.0685 | 6.81*** |
| αARCH | 0.0918 | 9.72*** |
| βGARCH | 0.8827 | 78.70*** |
Spline Coefficients
K=7
| γ1 | -0.1717 | -4.40*** |
| γ2 | 0.3101 | 5.04*** |
| γ3 | -0.2168 | -4.29*** |
| γ4 | 0.0901 | 1.80* |
| γ5 | 0.0236 | 0.47 |
| γ6 | -0.0437 | -0.89 |
| γ7 | -0.0040 | -0.12 |
0.974
Persistence27d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0685 | 6.81*** |
α ARCH Response to squared shocks | 0.0918 | 9.72*** |
β GARCH Volatility persistence | 0.8827 | 78.70*** |
Spline Coefficients
K=7
| γ1 | -0.1717 | -4.40*** |
| γ2 | 0.3101 | 5.04*** |
| γ3 | -0.2168 | -4.29*** |
| γ4 | 0.0901 | 1.80* |
| γ5 | 0.0236 | 0.47 |
| γ6 | -0.0437 | -0.89 |
| γ7 | -0.0040 | -0.12 |
Persistence:
0.974
Half-life:
27 days
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