V-Lab
State Street Consumer Discretionary Select Sector SPDR ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
22.46%
increased by 0.08%
1 Week
22.50%
increased by 0.12%
1 Month
22.63%
increased by 0.25%
Analysis last updated: Monday, July 27, 2026 at 09:44 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Jul 24, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 114 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 10.08 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 | 2.5197 | 6.19*** |
α ARCH Response to squared shocks | 0.0859 | 39.28*** |
β GARCH Volatility persistence | 0.9940 | 981.20*** |
ν DF Student-t tail thickness | 10.0753 | 5.39*** |
Persistence:
0.994
Half-life:
114 days
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