V-Lab
State Street Financial Select Sector SPDR ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
14.15%
increased by 0.85%
1 Week
14.47%
increased by 1.17%
1 Month
15.58%
increased by 2.28%
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
Volatility shocks decay with a half-life of 68 trading days, meaning a shock loses half its impact after approximately 68 days. Returns follow a Student-t distribution with v = 7.18 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 | 2.5681 | 5.83*** |
α ARCH Response to squared shocks | 0.0947 | 39.30*** |
β GARCH Volatility persistence | 0.9899 | 546.01*** |
ν DF Student-t tail thickness | 7.1832 | 7.70*** |
Persistence:
0.990
Half-life:
68 days
Other State Street Financial Select Sector SPDR ETF Analyses
Other GAS-GARCH Student T Analyses on ETFs