State Street Health Care Select Sector SPDR ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
15.25%
increased by 1.82%
1 Week
15.34%
increased by 1.91%
1 Month
15.67%
increased by 2.24%
Analysis last updated: Saturday, October 10, 2026 at 02:09 AM 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 9, 2026Model Insight
Volatility shocks decay with a half-life of 39 trading days, meaning a shock loses half its impact after approximately 39 days. Returns follow a Student-t distribution with v = 7.50 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 39-day half-lifev = 7.50 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2492 | 2.03** |
| αARCH | 0.0872 | 7.73*** |
| βGARCH | 0.9822 | 99.31*** |
| νDF | 7.5006 | 1.36 |
0.982
Persistence39d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2492 | 2.03** |
α ARCH Response to squared shocks | 0.0872 | 7.73*** |
β GARCH Volatility persistence | 0.9822 | 99.31*** |
ν DF Student-t tail thickness | 7.5006 | 1.36 |
Persistence:
0.982
Half-life:
39 days
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