Coca-Cola Co/The GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
26.44%
decreased by 1.25%
1 Week
26.42%
decreased by 1.27%
1 Month
26.35%
decreased by 1.34%
Analysis last updated: Tuesday, July 21, 2026 at 09:48 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 151 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 = 5.62 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 | 2.3547 | 4.52*** |
α ARCH Response to squared shocks | 0.0581 | 52.00*** |
β GARCH Volatility persistence | 0.9954 | 1,017.82*** |
ν DF Student-t tail thickness | 5.6247 | 12.48*** |
Persistence:
0.995
Half-life:
151 days
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