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V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of Nestle SA S0GARCH

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

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

ParameterValuet-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
γi Spline Coefficients
K=3
γ110.1236
2.25**
γ2-15.3334
-2.24**
γ36.7687
1.82*

Persistence:

0.429

Half-life:

1 days