V-Lab
State Street Technology Select Sector SPDR ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 22nd, 2026
1 Day
25.22%
increased by 3.08%
1 Week
25.27%
increased by 3.13%
1 Month
25.45%
increased by 3.31%
Analysis last updated: Monday, September 21, 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 Sep 18, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 131 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
High persistence: persistence 0.995, shock half-life ~131 daysv = 8.72 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.4185 | 1.40 |
| αARCH | 0.0864 | 11.77*** |
| βGARCH | 0.9947 | 248.99*** |
| νDF | 8.7198 | 1.82* |
0.995
Persistence131d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.4185 | 1.40 |
α ARCH Response to squared shocks | 0.0864 | 11.77*** |
β GARCH Volatility persistence | 0.9947 | 248.99*** |
ν DF Student-t tail thickness | 8.7198 | 1.82* |
Persistence:
0.995
Half-life:
131 days
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