SEI Select Small CAP ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
18.88%
decreased by 0.22%
1 Week
19.04%
decreased by 0.06%
1 Month
19.50%
increased by 0.40%
Analysis last updated: Monday, October 19, 2026 at 09:26 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 10, 2024 to Oct 16, 2026Model Insight
Volatility shocks decay with a half-life of 12 trading days, meaning a shock loses half its impact after approximately 12 days. Returns follow a Student-t distribution with v = 5.87 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 12-day half-lifev = 5.87 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.6432 | 0.94 |
| αARCH | 0.0398 | 0.83 |
| βGARCH | 0.9424 | 18.57*** |
| νDF | 5.8750 | 0.14 |
0.942
Persistence12d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.6432 | 0.94 |
α ARCH Response to squared shocks | 0.0398 | 0.83 |
β GARCH Volatility persistence | 0.9424 | 18.57*** |
ν DF Student-t tail thickness | 5.8750 | 0.14 |
Persistence:
0.942
Half-life:
12 days
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