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{name} Model Equation

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.7645	5.82***
αARCH	0.0966	8.72***
βGARCH	0.8647	57.73***

γ₁	-0.2070	-4.43***
γ₂	0.3509	5.15***
γ₃	-0.2293	-5.13***
γ₄	0.1034	2.47**
γ₅	0.0157	0.37
γ₆	-0.0674	-1.58
γ₇	0.0441	1.48

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7645	5.82***
α ARCH Response to squared shocks	0.0966	8.72***
β GARCH Volatility persistence	0.8647	57.73***

γ₁	-0.2070	-4.43***
γ₂	0.3509	5.15***
γ₃	-0.2293	-5.13***
γ₄	0.1034	2.47**
γ₅	0.0157	0.37
γ₆	-0.0674	-1.58
γ₇	0.0441	1.48

V-Lab

State Street Industrial Select Sector SPDR ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Industrial Select Sector SPDR ETF Analyses