S&P 500 Index

State Street Consumer Discretionary Select Sector SPDR ETF

State Street Consumer Staples Select Sector SPDR ETF

State Street Energy Select Sector SPDR ETF

State Street Financial Select Sector SPDR ETF

State Street Health Care Select Sector SPDR ETF

State Street Industrial Select Sector SPDR ETF

State Street Materials Select Sector SPDR ETF

State Street Technology Select Sector SPDR ETF

State Street Utilities Select Sector SPDR ETF

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Equity Sectors EWMA Covariance Correlation Analysis