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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7071	4.63***
α ARCH Response to squared shocks	0.1116	9.77***
β GARCH Volatility persistence	0.8510	63.58***

γ₁	0.0581	1.83*
γ₂	-0.1459	-3.31***
γ₃	0.1642	6.55***
γ₄	-0.1389	-5.80***
γ₅	0.1028	3.47***
γ₆	-0.0446	-1.51
γ₇	-0.0013	-0.06

V-Lab

State Street SPDR S&P 500 ETF Trust Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR S&P 500 ETF Trust Analyses