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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0677	15.16***
α ARCH Response to squared shocks	0.0350	9.61***
β GARCH Volatility persistence	0.9141	333.62***
γ leverage Additional response to negative shocks	0.0694	10.51***

V-Lab

State Street SPDR S&P Semiconductor ETF GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR S&P Semiconductor ETF Analyses