V-Lab
State Street SPDR Bloomberg 1-3 Month T-Bill ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
0.33%
increased by 0.02%
1 Week
0.33%
increased by 0.02%
1 Month
0.33%
increased by 0.02%
Analysis last updated: Friday, July 24, 2026 at 10:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 30, 2007 to Jul 24, 2026Illiquid Asset
Boundary Parameters
Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 12.39 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0010 | 6.86*** |
α ARCH Response to squared shocks | 0.0406 | 22.48*** |
β GARCH Volatility persistence | 0.9990 | 6,018.07*** |
ν DF Student-t tail thickness | 12.3874 | 1.85* |
Persistence:
0.999
Half-life:
693 days
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