V-Lab
State Street SPDR S&P Oil & Gas Equipment & Services ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
31.03%
decreased by 1.01%
1 Week
31.17%
decreased by 0.87%
1 Month
31.70%
decreased by 0.34%
Analysis last updated: Friday, July 24, 2026 at 10:56 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 22, 2006 to Jul 24, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 127 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 = 7.96 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 | 6.9924 | 3.36*** |
α ARCH Response to squared shocks | 0.0546 | 31.96*** |
β GARCH Volatility persistence | 0.9945 | 559.05*** |
ν DF Student-t tail thickness | 7.9581 | 3.37*** |
Persistence:
0.995
Half-life:
127 days
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