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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	0.0379	8.26***
β GARCH Volatility persistence	0.7962	76.00***
γ leverage Additional response to negative shocks	0.1057	17.54***
λ₁ tau intercept Baseline long-term coefficient	0.0106	4.23***
λ₂ forecast adj. Forecast performance sensitivity	0.0530	4.36***
λ₃ tau persistence Long-term factor persistence	0.9379	68.48***

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