V-Lab: SPDR S&P Oil & Gas Exploration & Production ETF Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

SPDR S&P Oil & Gas Exploration & Production ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 24th, 2024:25.27% (-1.11%)

Analysis last updated: Monday, December 23, 2024 at 10:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8679	2.96
$α$	0.0878	5.72
$β$	0.8773	45.77
$γ_{1}$	0.4354	1.40
$γ_{2}$	-0.8535	-1.92
$γ_{3}$	0.5363	1.78
$γ_{4}$	0.3513	0.87
$γ_{5}$	-1.1336	-1.53
$γ_{6}$	0.9268	1.09
$γ_{7}$	-0.0754	-0.12
$γ_{8}$	-0.4006	-1.05
$γ_{9}$	0.0870	0.31
$γ_{10}$	0.2866	1.65

Estimation Period:
Jun 22, 2006 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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