V-Lab
State Street SPDR Bloomberg 1-10 Year TIPS ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
2.97%
increased by 0.23%
1 Week
3.00%
increased by 0.26%
1 Month
3.14%
increased by 0.40%
Analysis last updated: Friday, August 21, 2026 at 10:51 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 30, 2013 to Aug 21, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 139 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 = 4.29 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 | 0.1226 | 7.70*** |
α ARCH Response to squared shocks | 0.0542 | 44.00*** |
β GARCH Volatility persistence | 0.9950 | 1,815.75*** |
ν DF Student-t tail thickness | 4.2869 | 23.62*** |
Persistence:
0.995
Half-life:
139 days
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