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{name} Model Equation

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Param	Value	t-stat
mwindow	76
αARCH	0.0198	1.31
βGARCH	0.8460	51.34***
γleverage	0.1560	6.78***
λ₁tau intercept	0.0100	1.08
λ₂forecast adj.	0.0361	1.30
λ₃tau persistence	0.9549	27.52***

Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0198	1.31
β GARCH Volatility persistence	0.8460	51.34***
γ leverage Additional response to negative shocks	0.1560	6.78***
λ₁ tau intercept Baseline long-term coefficient	0.0100	1.08
λ₂ forecast adj. Forecast performance sensitivity	0.0361	1.30
λ₃ tau persistence Long-term factor persistence	0.9549	27.52***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Health Care Select Sector SPDR ETF Analyses