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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0270	13.82***
α ARCH Response to squared shocks	0.0308	12.52***
β GARCH Volatility persistence	0.9112	393.59***
γ leverage Additional response to negative shocks	0.0907	14.99***

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