State Street Technology Select Sector SPDR ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 10th, 2026
1 Day
38.85%
decreased by 0.03%
1 Week
38.77%
decreased by 0.11%
1 Month
38.46%
decreased by 0.42%
Analysis last updated: Thursday, July 9, 2026 at 09:52 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Jul 2, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 137 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 8.72 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 | 3.5462 | 5.64*** |
α ARCH Response to squared shocks | 0.0867 | 47.94*** |
β GARCH Volatility persistence | 0.9950 | 1,055.09*** |
ν DF Student-t tail thickness | 8.7205 | 7.39*** |
Persistence:
0.995
Half-life:
137 days
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