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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	0.0196	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***

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