V-Lab
Nestle SA Asy. Power MEM Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
26.50%
decreased by 3.96%
1 Week
28.19%
decreased by 2.27%
1 Month
29.61%
decreased by 0.85%
Analysis last updated: Saturday, August 8, 2026 at 10:17 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 16, 2018 to Aug 7, 2026Boundary Parameters
Model Insight
Volatility shocks decay with a half-life of 2 trading days, meaning a shock loses half its impact after approximately 2 days. The volatility power δ = 0.50 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
μ
APMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4368 | 7.72*** |
α ARCH Response to squared shocks | 0.2445 | 11.38*** |
β GARCH Volatility persistence | 0.4821 | 7.93*** |
γ leverage Additional response to negative shocks | 0.0500 | 0.70 |
δ power Transformation power | 0.5000 | 3.86*** |
Persistence:
0.683
Half-life:
2 days
Other Asy. Power MEM Analyses on International Equities