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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0244	7.54***
β GARCH Volatility persistence	0.8332	192.10***
γ leverage Additional response to negative shocks	0.1839	35.61***
λ₁ tau intercept Baseline long-term coefficient	0.0076	9.37***
λ₂ forecast adj. Forecast performance sensitivity	0.0302	8.69***
λ₃ tau persistence Long-term factor persistence	0.9657	242.27***

V-Lab

State Street Financial Select Sector SPDR ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Financial Select Sector SPDR ETF Analyses