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State Street Health Care Select Sector SPDR ETF GAS-GARCH Student T Volatility Analysis

Volatility prediction for Tuesday, August 25th, 2026

1 Day

20.51%

decreased by 1.45%

1 Week

20.42%

decreased by 1.54%

1 Month

20.11%

decreased by 1.85%

Analysis last updated: Monday, August 24, 2026 at 09:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of State Street Health Care Select Sector SPDR ETF GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Dec 22, 1998 to Aug 21, 2026

Model 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 = 7.53 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.2651
7.98***
α

ARCH

Response to squared shocks

0.0876
31.03***
β

GARCH

Volatility persistence

0.9825
397.61***
ν

DF

Student-t tail thickness

7.5271
5.43***

Persistence:

0.983

Half-life:

39 days