V-Lab
State Street Energy Select Sector SPDR ETF Asy. MEM Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
22.71%
increased by 4.50%
1 Week
22.90%
increased by 4.69%
1 Month
23.55%
increased by 5.34%
Analysis last updated: Thursday, September 10, 2026 at 09:57 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Sep 4, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 67% more than equivalent positive returns.
μ
AMEM Model
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Leverage: Negative returns increase volatility 67% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0513 | 6.44*** |
| αARCH | 0.1373 | 8.46*** |
| βGARCH | 0.7999 | 59.83*** |
| γleverage | 0.0921 | 3.15*** |
0.983
Persistence41d
Half-lifeμ
AMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0513 | 6.44*** |
α ARCH Response to squared shocks | 0.1373 | 8.46*** |
β GARCH Volatility persistence | 0.7999 | 59.83*** |
γ leverage Additional response to negative shocks | 0.0921 | 3.15*** |
Persistence:
0.983
Half-life:
41 days
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