V-Lab
SEI Select Small CAP ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, September 16th, 2026
1 Day
19.50%
increased by 0.38%
1 Week
19.65%
increased by 0.53%
1 Month
20.05%
increased by 0.93%
Analysis last updated: Wednesday, September 16, 2026 at 02:37 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 10, 2024 to Sep 11, 2026Model Insight
Volatility shocks decay with a half-life of 10 trading days, meaning a shock loses half its impact after approximately 10 days. Returns follow a Student-t distribution with v = 5.65 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 10-day half-lifev = 5.65 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.7033 | 0.87 |
| αARCH | 0.0361 | 0.65 |
| βGARCH | 0.9345 | 13.72*** |
| νDF | 5.6543 | 0.11 |
0.935
Persistence10d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7033 | 0.87 |
α ARCH Response to squared shocks | 0.0361 | 0.65 |
β GARCH Volatility persistence | 0.9345 | 13.72*** |
ν DF Student-t tail thickness | 5.6543 | 0.11 |
Persistence:
0.935
Half-life:
10 days
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