V-Lab
State Street Energy Select Sector SPDR ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
20.18%
unchanged at 0.00%
1 Week
20.32%
increased by 0.14%
1 Month
20.84%
increased by 0.66%
Analysis last updated: Tuesday, September 8, 2026 at 10:46 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Sep 4, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 87 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 11.42 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
High persistence: persistence 0.992, shock half-life ~87 daysv = 11.42 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.0508 | 2.24** |
| αARCH | 0.0682 | 9.41*** |
| βGARCH | 0.9921 | 244.41*** |
| νDF | 11.4183 | 0.94 |
0.992
Persistence87d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.0508 | 2.24** |
α ARCH Response to squared shocks | 0.0682 | 9.41*** |
β GARCH Volatility persistence | 0.9921 | 244.41*** |
ν DF Student-t tail thickness | 11.4183 | 0.94 |
Persistence:
0.992
Half-life:
87 days
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