VOLATILITY ANALYSIS

Sector Average % Down/Up Vol
Level Change
Consumer Discretionary 25.65 -0.07
Consumer Staples 22.34 -0.28
Energy 26.85 -0.07
Financials 23.82 -0.29
Health Care 25.75 -0.47
Industrials 23.28 -0.32
Information Technology 29.95 -0.36
Materials 28.27 -0.40
Telecommunication Services 37.90 +0.12
Utilities 17.22 -0.45

S&P 500 Composite GJR-GARCH Volatility