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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0244	20.36***
α ARCH Response to squared shocks	0.0011	0.34
β GARCH Volatility persistence	0.8892	387.45***
γ leverage Additional response to negative shocks	0.1807	27.55***

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State Street SPDR S&P 500 ETF Trust GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR S&P 500 ETF Trust Analyses