Skip to main content
V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of Nestle SA GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Oct 11, 2018 to Jul 10, 2026

Model 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

ParameterValuet-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