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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	0.0384	8.38***
β GARCH Volatility persistence	0.7957	75.82***
γ leverage Additional response to negative shocks	0.1055	17.50***
λ₁ tau intercept Baseline long-term coefficient	0.0107	4.25***
λ₂ forecast adj. Forecast performance sensitivity	0.0532	4.36***
λ₃ tau persistence Long-term factor persistence	0.9377	68.35***

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