State Street Utilities Select Sector SPDR ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
14.85%
decreased by 0.47%
1 Week
14.97%
decreased by 0.35%
1 Month
15.40%
increased by 0.08%
Analysis last updated: Monday, July 20, 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 17, 2026Model Insight
Volatility shocks decay with a half-life of 48 trading days, meaning a shock loses half its impact after approximately 48 days. Returns follow a Student-t distribution with v = 10.12 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 | 1.3785 | 11.45*** |
α ARCH Response to squared shocks | 0.0829 | 32.41*** |
β GARCH Volatility persistence | 0.9856 | 757.57*** |
ν DF Student-t tail thickness | 10.1239 | 4.42*** |
Persistence:
0.986
Half-life:
48 days
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