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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

Date Range:

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to

6M ·

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2Y ·

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10Y ·

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graph of State Street SPDR Bloomberg 1-10 Year TIPS ETF GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

May 30, 2013 to Aug 7, 2026

Model 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

ParameterValuet-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