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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0376	8.18***
β GARCH Volatility persistence	0.7960	75.92***
γ leverage Additional response to negative shocks	0.1058	17.54***
λ₁ tau intercept Baseline long-term coefficient	0.0106	4.19***
λ₂ forecast adj. Forecast performance sensitivity	0.0530	4.33***
λ₃ tau persistence Long-term factor persistence	0.9379	68.03***

V-Lab

State Street Utilities Select Sector SPDR ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Utilities Select Sector SPDR ETF Analyses