V-Lab
State Street SPDR Portfolio Aggregate Bond ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
4.48%
increased by 0.31%
1 Week
4.50%
increased by 0.33%
1 Month
4.54%
increased by 0.37%
Analysis last updated: Friday, September 18, 2026 at 11:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 30, 2007 to Sep 18, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 98 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 = 10.10 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.993, shock half-life ~98 daysv = 10.10 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1075 | 2.35** |
| αARCH | 0.0789 | 8.88*** |
| βGARCH | 0.9930 | 315.43*** |
| νDF | 10.0970 | 1.44 |
0.993
Persistence98d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1075 | 2.35** |
α ARCH Response to squared shocks | 0.0789 | 8.88*** |
β GARCH Volatility persistence | 0.9930 | 315.43*** |
ν DF Student-t tail thickness | 10.0970 | 1.44 |
Persistence:
0.993
Half-life:
98 days
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