V-Lab
State Street Consumer Staples Select Sector SPDR ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
16.90%
decreased by 0.36%
1 Week
16.86%
decreased by 0.40%
1 Month
16.69%
decreased by 0.57%
Analysis last updated: Friday, August 21, 2026 at 10:59 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Aug 21, 2026Model Insight
Volatility shocks decay with a half-life of 44 trading days, meaning a shock loses half its impact after approximately 44 days. Returns follow a Student-t distribution with v = 8.82 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 | 0.9367 | 9.75*** |
α ARCH Response to squared shocks | 0.0906 | 34.33*** |
β GARCH Volatility persistence | 0.9843 | 561.48*** |
ν DF Student-t tail thickness | 8.8245 | 5.28*** |
Persistence:
0.984
Half-life:
44 days
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