V-Lab
State Street Consumer Discretionary Select Sector SPDR ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, August 21st, 2026
1 Day
20.69%
increased by 1.05%
1 Week
20.75%
increased by 1.11%
1 Month
20.97%
increased by 1.33%
Analysis last updated: Thursday, August 20, 2026 at 09:49 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Aug 14, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 113 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 10.04 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 | 2.4966 | 6.23*** |
α ARCH Response to squared shocks | 0.0858 | 39.29*** |
β GARCH Volatility persistence | 0.9939 | 977.28*** |
ν DF Student-t tail thickness | 10.0437 | 5.41*** |
Persistence:
0.994
Half-life:
113 days
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