V-Lab
Coca-Cola Co/The GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
14.71%
decreased by 0.27%
1 Week
14.83%
decreased by 0.15%
1 Month
15.27%
increased by 0.29%
Analysis last updated: Friday, October 2, 2026 at 11:47 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 2, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 140 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.61 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.995, shock half-life ~140 daysv = 5.61 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.2509 | 1.11 |
| αARCH | 0.0585 | 12.52*** |
| βGARCH | 0.9951 | 230.45*** |
| νDF | 5.6061 | 2.99*** |
0.995
Persistence140d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.2509 | 1.11 |
α ARCH Response to squared shocks | 0.0585 | 12.52*** |
β GARCH Volatility persistence | 0.9951 | 230.45*** |
ν DF Student-t tail thickness | 5.6061 | 2.99*** |
Persistence:
0.995
Half-life:
140 days
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