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{name} Model Equation

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Param	Value	t-stat
mwindow	56
αARCH	0.0262	2.26**
βGARCH	0.8380	50.47***
γleverage	0.1397	7.58***
λ₁tau intercept	0.0093	1.61
λ₂forecast adj.	0.0602	2.02**
λ₃tau persistence	0.9276	26.20***

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0262	2.26**
β GARCH Volatility persistence	0.8380	50.47***
γ leverage Additional response to negative shocks	0.1397	7.58***
λ₁ tau intercept Baseline long-term coefficient	0.0093	1.61
λ₂ forecast adj. Forecast performance sensitivity	0.0602	2.02**
λ₃ tau persistence Long-term factor persistence	0.9276	26.20***

V-Lab

State Street Consumer Staples Select Sector SPDR ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Consumer Staples Select Sector SPDR ETF Analyses