V-Lab
Nestle SA APARCH Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
21.99%
decreased by 13.70%
1 Week
27.26%
decreased by 8.43%
1 Month
29.77%
decreased by 5.92%
Analysis last updated: Wednesday, August 19, 2026 at 07:16 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 11, 2018 to Aug 14, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 86% more than equivalent positive returns. The volatility power δ = 1.04 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
σ
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9416 | 13.18*** |
α ARCH Response to squared shocks | 0.4587 | 13.85*** |
β GARCH Volatility persistence | 0.1570 | 5.02*** |
γ leverage Additional response to negative shocks | 0.2880 | 4.57*** |
δ power Transformation power | 1.0439 | 7.44*** |
Persistence:
0.525
Half-life:
1 days
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