Nestle SA Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
19.73%
decreased by 2.32%
1 Week
23.93%
increased by 1.88%
1 Month
25.42%
increased by 3.37%
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
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 1 trading day.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3802 | 2.99*** |
α ARCH Response to squared shocks | 0.4218 | 2.77*** |
β GARCH Volatility persistence | 0.0075 | 0.08 |
Spline Coefficients
K=3
| γ1 | 10.1236 | 2.25** |
| γ2 | -15.3334 | -2.24** |
| γ3 | 6.7687 | 1.82* |
Persistence:
0.429
Half-life:
1 days
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