V-Lab
State Street Consumer Discretionary Select Sector SPDR ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
15.02%
decreased by 0.67%
1 Week
15.18%
decreased by 0.51%
1 Month
15.78%
increased by 0.09%
Analysis last updated: Monday, October 5, 2026 at 09:53 PM 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 2, 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 = 10.14 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.994, shock half-life ~113 daysv = 10.14 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.4716 | 1.57 |
| αARCH | 0.0856 | 9.81*** |
| βGARCH | 0.9939 | 244.67*** |
| νDF | 10.1424 | 1.33 |
0.994
Persistence113d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.4716 | 1.57 |
α ARCH Response to squared shocks | 0.0856 | 9.81*** |
β GARCH Volatility persistence | 0.9939 | 244.67*** |
ν DF Student-t tail thickness | 10.1424 | 1.33 |
Persistence:
0.994
Half-life:
113 days
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