V-Lab
SEI Select Small CAP ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
18.99%
decreased by 0.12%
1 Week
19.22%
increased by 0.11%
1 Month
19.81%
increased by 0.70%
Analysis last updated: Tuesday, September 8, 2026 at 10:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 10, 2024 to Sep 4, 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 = 5.56 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 = 5.56 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.7122 | 0.84 |
| αARCH | 0.0358 | 0.63 |
| βGARCH | 0.9343 | 14.02*** |
| νDF | 5.5603 | 0.11 |
0.934
Persistence10d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7122 | 0.84 |
α ARCH Response to squared shocks | 0.0358 | 0.63 |
β GARCH Volatility persistence | 0.9343 | 14.02*** |
ν DF Student-t tail thickness | 5.5603 | 0.11 |
Persistence:
0.934
Half-life:
10 days
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