State Street Consumer Discretionary Select Sector SPDR ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 27th, 2026
1 Day
17.58%
1 Week
17.69%
1 Month
18.11%
Analysis last updated: Monday, October 26, 2026 at 10:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1998 to Oct 23, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 111 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 = 10.59 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 2.4741 | 1.62 |
| αscore | 0.0868 | 9.82*** |
| βpersistence | 0.9938 | 246.23*** |
| νDF | 10.5903 | 1.28 |
0.994
Persistence111d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 2.4741 | 1.62 |
α score Weight on the scaled score | 0.0868 | 9.82*** |
β persistence Volatility persistence | 0.9938 | 246.23*** |
ν DF Student-t tail thickness | 10.5903 | 1.28 |
Persistence:
0.994
Half-life:
111 days
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