V-Lab
State Street SPDR S&P Semiconductor ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
37.91%
increased by 1.15%
1 Week
38.18%
increased by 1.42%
1 Month
39.07%
increased by 2.31%
Analysis last updated: Saturday, September 12, 2026 at 12:06 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 6, 2006 to Sep 11, 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 23 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 | 0.7973 | 7.84*** |
| αARCH | 0.0749 | 7.18*** |
| βGARCH | 0.8954 | 63.93*** |
Spline Coefficients
K=3
| γ1 | -0.0188 | -1.82* |
| γ2 | 0.0387 | 2.54** |
| γ3 | -0.0313 | -3.94*** |
0.970
Persistence23d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7973 | 7.84*** |
α ARCH Response to squared shocks | 0.0749 | 7.18*** |
β GARCH Volatility persistence | 0.8954 | 63.93*** |
Spline Coefficients
K=3
| γ1 | -0.0188 | -1.82* |
| γ2 | 0.0387 | 2.54** |
| γ3 | -0.0313 | -3.94*** |
Persistence:
0.970
Half-life:
23 days
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