V-Lab
State Street SPDR Bloomberg 1-10 Year TIPS ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
3.18%
decreased by 0.11%
1 Week
3.21%
decreased by 0.08%
1 Month
3.33%
increased by 0.04%
Analysis last updated: Friday, July 24, 2026 at 10:50 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 30, 2013 to Jul 24, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 134 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.26 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 | 0.1214 | 7.65*** |
α ARCH Response to squared shocks | 0.0539 | 43.62*** |
β GARCH Volatility persistence | 0.9948 | 1,745.34*** |
ν DF Student-t tail thickness | 4.2609 | 23.51*** |
Persistence:
0.995
Half-life:
134 days
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