State Street Energy Select Sector SPDR ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
23.58%
decreased by 0.79%
1 Week
23.65%
decreased by 0.72%
1 Month
23.92%
decreased by 0.45%
Analysis last updated: Monday, October 19, 2026 at 09:58 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Oct 16, 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 = 11.44 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 = 11.44 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.0608 | 2.25** |
| αARCH | 0.0679 | 9.42*** |
| βGARCH | 0.9921 | 245.87*** |
| νDF | 11.4390 | 0.94 |
0.992
Persistence87d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.0608 | 2.25** |
α ARCH Response to squared shocks | 0.0679 | 9.42*** |
β GARCH Volatility persistence | 0.9921 | 245.87*** |
ν DF Student-t tail thickness | 11.4390 | 0.94 |
Persistence:
0.992
Half-life:
87 days
Other State Street Energy Select Sector SPDR ETF Analyses
Other GAS-GARCH Student T Analyses on ETFs