V-Lab
State Street Consumer Discretionary Select Sector SPDR ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, August 21st, 2026
1 Day
21.64%
increased by 0.61%
1 Week
21.84%
increased by 0.81%
1 Month
22.53%
increased by 1.50%
Analysis last updated: Thursday, August 20, 2026 at 09:49 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Aug 14, 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
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0676 | 6.80*** |
α ARCH Response to squared shocks | 0.0918 | 9.72*** |
β GARCH Volatility persistence | 0.8827 | 78.67*** |
Spline Coefficients
K=7
| γ1 | -0.1730 | -4.40*** |
| γ2 | 0.3123 | 5.03*** |
| γ3 | -0.2177 | -4.26*** |
| γ4 | 0.0900 | 1.78* |
| γ5 | 0.0233 | 0.46 |
| γ6 | -0.0418 | -0.85 |
| γ7 | -0.0063 | -0.19 |
Persistence:
0.975
Half-life:
27 days
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