State Street SPDR S&P Oil & Gas Exploration & Production ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
28.71%
decreased by 1.06%
1 Week
28.87%
decreased by 0.90%
1 Month
29.47%
decreased by 0.30%
Analysis last updated: Monday, October 19, 2026 at 09:58 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 22, 2006 to Oct 16, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 90 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 = 10.79 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.992, shock half-life ~90 daysv = 10.79 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.6550 | 2.09** |
| αARCH | 0.0631 | 8.54*** |
| βGARCH | 0.9923 | 242.38*** |
| νDF | 10.7895 | 0.91 |
0.992
Persistence90d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.6550 | 2.09** |
α ARCH Response to squared shocks | 0.0631 | 8.54*** |
β GARCH Volatility persistence | 0.9923 | 242.38*** |
ν DF Student-t tail thickness | 10.7895 | 0.91 |
Persistence:
0.992
Half-life:
90 days
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