V-Lab
State Street Energy Select Sector SPDR ETF Asy. Power MEM Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
20.38%
1 Week
19.61%
1 Month
17.44%
Analysis last updated: Friday, September 4, 2026 at 10:58 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 modest leverage effect: negative returns increase next-day volatility 37% more than equivalent positive returns. The volatility power δ = 0.98 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0385 | 5.92*** |
| αARCH | 0.1952 | 13.16*** |
| βGARCH | 0.7948 | 51.51*** |
| γleverage | 0.1577 | 5.93*** |
| δpower | 0.9822 | 4.81*** |
0.950
Persistence14d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0385 | 5.92*** |
α ARCH Response to squared shocks | 0.1952 | 13.16*** |
β GARCH Volatility persistence | 0.7948 | 51.51*** |
γ leverage Additional response to negative shocks | 0.1577 | 5.93*** |
δ power Transformation power | 0.9822 | 4.81*** |
Persistence:
0.950
Half-life:
14 days
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