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, November 5th, 2024:19.49% (-0.76%)

Analysis last updated: Monday, November 4, 2024 at 10:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1507	7.07
$α$	0.0928	9.67
$β$	0.8831	78.20
$γ_{1}$	-0.1212	-3.69
$γ_{2}$	0.2286	4.48
$γ_{3}$	-0.1781	-4.57
$γ_{4}$	0.0970	2.49
$γ_{5}$	0.0003	0.01
$γ_{6}$	-0.0502	-2.10

Estimation Period:
Dec 22, 1998 to Nov 1, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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