V-Lab: Consumer Discretionary Select Sector SPDR Fund Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Consumer Discretionary Select Sector SPDR Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 9th, 2025:28.59% (-0.91%)

Analysis last updated: Thursday, May 8, 2025 at 09:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1765	7.10
$α$	0.0947	9.71
$β$	0.8816	77.93
$γ_{1}$	-0.1097	-3.41
$γ_{2}$	0.2094	4.18
$γ_{3}$	-0.1666	-4.36
$γ_{4}$	0.0941	2.42
$γ_{5}$	-0.0014	-0.04
$γ_{6}$	-0.0508	-2.20

Estimation Period:
Dec 22, 1998 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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