SEI Select Small CAP ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, November 10th, 2026
1 Day
22.68%
increased by 2.01%
1 Week
22.46%
increased by 1.79%
1 Month
21.84%
increased by 1.17%
Analysis last updated: Monday, November 9, 2026 at 10:27 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 Nov 6, 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 = 5.57 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 = 5.57 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 1.6794 | 0.81 |
| αscore | 0.0407 | 0.76 |
| βpersistence | 0.9424 | 23.21*** |
| νDF | 5.5730 | 0.14 |
0.942
Persistence12d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 1.6794 | 0.81 |
α score Weight on the scaled score | 0.0407 | 0.76 |
β persistence Volatility persistence | 0.9424 | 23.21*** |
ν DF Student-t tail thickness | 5.5730 | 0.14 |
Persistence:
0.942
Half-life:
12 days
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