V-Lab
State Street SPDR Portfolio Aggregate Bond ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
3.71%
decreased by 0.07%
1 Week
3.73%
decreased by 0.05%
1 Month
3.83%
increased by 0.05%
Analysis last updated: Monday, July 27, 2026 at 09:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 30, 2007 to Jul 24, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 97 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 10.00 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 | 0.1071 | 9.30*** |
α ARCH Response to squared shocks | 0.0795 | 35.57*** |
β GARCH Volatility persistence | 0.9929 | 1,238.01*** |
ν DF Student-t tail thickness | 9.9964 | 5.76*** |
Persistence:
0.993
Half-life:
97 days
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