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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0269	13.81***
α ARCH Response to squared shocks	0.0307	12.53***
β GARCH Volatility persistence	0.9115	395.45***
γ leverage Additional response to negative shocks	0.0905	15.01***

V-Lab

State Street Materials Select Sector SPDR ETF GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Materials Select Sector SPDR ETF Analyses