State Street Consumer Staples Select Sector SPDR ETF MF2-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Tuesday, July 21st, 2026
1 Day
2.82%
1 Week
4.30%
1 Month
7.83%
Analysis last updated: Monday, July 20, 2026 at 09:52 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Jul 17, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 26 | |
α ARCH Response to squared shocks | 1.0000 | |
β GARCH Volatility persistence | 0.0000 | |
γ leverage Additional response to negative shocks | 0.0000 | |
λ₁ tau intercept Baseline long-term coefficient | 0.5827 | 74.76*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.1878 | 36.38*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
1.000
Half-life:
-
Other State Street Consumer Staples Select Sector SPDR ETF Analyses
Other MF2-GARCH Analyses on ETFs