V-Lab
State Street Energy Select Sector SPDR ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
21.29%
decreased by 0.92%
1 Week
21.41%
decreased by 0.80%
1 Month
21.84%
decreased by 0.37%
Analysis last updated: Monday, September 28, 2026 at 09:57 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Sep 25, 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 | 3.0560 | 2.24** |
| αARCH | 0.0680 | 9.42*** |
| βGARCH | 0.9921 | 244.90*** |
| νDF | 11.4190 | 0.94 |
0.992
Persistence87d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.0560 | 2.24** |
α ARCH Response to squared shocks | 0.0680 | 9.42*** |
β GARCH Volatility persistence | 0.9921 | 244.90*** |
ν DF Student-t tail thickness | 11.4190 | 0.94 |
Persistence:
0.992
Half-life:
87 days
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