V-Lab
State Street Materials Select Sector SPDR ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
19.93%
increased by 1.75%
1 Week
20.03%
increased by 1.85%
1 Month
20.38%
increased by 2.20%
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
Dec 22, 1998 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 60 trading days, meaning a shock loses half its impact after approximately 60 days. Returns follow a Student-t distribution with v = 11.22 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 | 2.2573 | 10.38*** |
α ARCH Response to squared shocks | 0.0833 | 34.81*** |
β GARCH Volatility persistence | 0.9885 | 797.18*** |
ν DF Student-t tail thickness | 11.2230 | 4.18*** |
Persistence:
0.989
Half-life:
60 days
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