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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0189	4.91***
β GARCH Volatility persistence	0.8465	195.49***
γ leverage Additional response to negative shocks	0.1586	30.73***
λ₁ tau intercept Baseline long-term coefficient	0.0097	7.30***
λ₂ forecast adj. Forecast performance sensitivity	0.0342	6.37***
λ₃ tau persistence Long-term factor persistence	0.9570	150.14***

V-Lab

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

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Health Care Select Sector SPDR ETF Analyses