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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.0368	6.53***
αARCH	0.2076	15.04***
βGARCH	0.7756	51.29***
γleverage	0.1090	5.00***
δpower	1.0060	4.19***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0368	6.53***
α ARCH Response to squared shocks	0.2076	15.04***
β GARCH Volatility persistence	0.7756	51.29***
γ leverage Additional response to negative shocks	0.1090	5.00***
δ power Transformation power	1.0060	4.19***

V-Lab

State Street Utilities Select Sector SPDR ETF Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Utilities Select Sector SPDR ETF Analyses