Nestle SA GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
21.87%
decreased by 4.48%
1 Week
26.36%
increased by 0.01%
1 Month
28.10%
increased by 1.75%
Analysis last updated: Tuesday, July 14, 2026 at 07:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 11, 2018 to Jul 10, 2026Model Insight
Volatility shocks decay with a half-life of 1 trading day, meaning a shock loses half its impact after approximately 1 day. Returns follow a Student-t distribution with v = 3.43 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 | 3.2529 | 7.45*** |
α ARCH Response to squared shocks | 0.2257 | 4.10*** |
β GARCH Volatility persistence | 0.4642 | 8.00*** |
ν DF Student-t tail thickness | 3.4322 | 3.05*** |
Persistence:
0.464
Half-life:
1 days
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