V-Lab
State Street SPDR Bloomberg 1-10 Year TIPS ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
2.89%
decreased by 0.03%
1 Week
2.93%
increased by 0.01%
1 Month
3.08%
increased by 0.16%
Analysis last updated: Friday, August 7, 2026 at 10:44 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 30, 2013 to Aug 7, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 140 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.28 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 | 0.1230 | 7.71*** |
α ARCH Response to squared shocks | 0.0541 | 43.95*** |
β GARCH Volatility persistence | 0.9951 | 1,822.44*** |
ν DF Student-t tail thickness | 4.2800 | 23.78*** |
Persistence:
0.995
Half-life:
140 days
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