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V-Lab

State Street Health Care Select Sector SPDR ETF MF2-GARCH Volatility Analysis

Volatility prediction for Tuesday, August 25th, 2026

1 Day

18.27%

decreased by 0.86%

1 Week

18.58%

decreased by 0.55%

1 Month

19.54%

increased by 0.41%

Analysis last updated: Monday, August 24, 2026 at 09:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of State Street Health Care Select Sector SPDR ETF MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Dec 22, 1998 to Aug 21, 2026

Model Insight

This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

76
α

ARCH

Response to squared shocks

0.0196
5.16***
β

GARCH

Volatility persistence

0.8454
193.81***
γ

leverage

Additional response to negative shocks

0.1572
30.26***
λ₁

tau intercept

Baseline long-term coefficient

0.0104
6.95***
λ₂

forecast adj.

Forecast performance sensitivity

0.0387
6.22***
λ₃

tau persistence

Long-term factor persistence

0.9521
130.10***

Persistence:

0.944

Half-life:

12 days