State Street Technology Select Sector SPDR ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
24.28%
increased by 3.79%
1 Week
24.34%
increased by 3.85%
1 Month
24.57%
increased by 4.08%
Analysis last updated: Friday, October 16, 2026 at 11:22 PM UTC
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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 0.995, volatility shocks have a half-life of 132 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 = 8.69 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.995, shock half-life ~132 daysv = 8.69 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.4335 | 1.40 |
| αARCH | 0.0861 | 11.82*** |
| βGARCH | 0.9948 | 250.51*** |
| νDF | 8.6932 | 1.83* |
0.995
Persistence132d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.4335 | 1.40 |
α ARCH Response to squared shocks | 0.0861 | 11.82*** |
β GARCH Volatility persistence | 0.9948 | 250.51*** |
ν DF Student-t tail thickness | 8.6932 | 1.83* |
Persistence:
0.995
Half-life:
132 days
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