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{name} Model Equation

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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	0.0289	7.03***
αARCH	0.1861	14.33***
βGARCH	0.8019	63.38***
γleverage	0.2119	7.34***
δpower	0.9801	5.81***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0289	7.03***
α ARCH Response to squared shocks	0.1861	14.33***
β GARCH Volatility persistence	0.8019	63.38***
γ leverage Additional response to negative shocks	0.2119	7.34***
δ power Transformation power	0.9801	5.81***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Health Care Select Sector SPDR ETF Analyses