Skip to main content
V-Lab
V-Lab

State Street Consumer Staples Select Sector SPDR ETF GJR-GARCH Volatility Analysis

Volatility prediction for Monday, September 21st, 2026

1 Day

13.73%

increased by 0.39%

1 Week

13.80%

increased by 0.46%

1 Month

14.02%

increased by 0.68%

Analysis last updated: Friday, September 18, 2026 at 11:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of State Street Consumer Staples Select Sector SPDR ETF GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Dec 22, 1998 to Sep 18, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 352% more than equivalent positive returns.

σ

GJR-GARCH Model

Tap to view equation

Leverage: Negative returns increase volatility 352% more than positive returns
ParamValuet-stat
ωconst0.0159
4.97***
αARCH0.0328
3.15***
βGARCH0.8927
97.45***
γleverage0.1157
4.65***

0.983

Persistence

41d

Half-life
σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0159
4.97***
α

ARCH

Response to squared shocks

0.0328
3.15***
β

GARCH

Volatility persistence

0.8927
97.45***
γ

leverage

Additional response to negative shocks

0.1157
4.65***

Persistence:

0.983

Half-life:

41 days