V-Lab
State Street Energy Select Sector SPDR ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
22.04%
increased by 1.60%
1 Week
22.15%
increased by 1.71%
1 Month
22.53%
increased by 2.09%
Analysis last updated: Monday, July 27, 2026 at 09:44 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
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 = 11.38 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 | 3.0569 | 8.97*** |
α ARCH Response to squared shocks | 0.0683 | 37.51*** |
β GARCH Volatility persistence | 0.9920 | 975.46*** |
ν DF Student-t tail thickness | 11.3762 | 3.81*** |
Persistence:
0.992
Half-life:
87 days
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