SVG doesn't have a native shadow attribute/property like CSS's box-shadow or text-shadow, however shadows can still be acheived in a couple ways.
You could duplicate an element, change its color to black, drop the opacity, and blur it with a basic filter element. Or, you could use a more complex filter element to do all that for you. Fortunately, Sketch does the latter for you when you export a layer with a shadow, as shown here.
The markup looks complicated, but here's a breakdown: the feOffset element moves the shadow down 4px, the feGaussianBlur blurs it, the feColorMatrix makes it black and lowers the opacity, and feMergeNode combines the shadow with the element that the shadow belongs to. SVG filters are super powerful, but thankfully Sketch figures them out for you. Be careful to use them sparingly to prevent a performance bottleneck.