V-Lab
Mondelez International Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
21.79%
decreased by 1.48%
1 Week
21.72%
decreased by 1.55%
1 Month
21.51%
decreased by 1.76%
Analysis last updated: Monday, August 24, 2026 at 09:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 13, 2001 to Aug 21, 2026Model Insight
Volatility shocks decay with a half-life of 16 trading days, meaning a shock loses half its impact after approximately 16 days. Returns follow a Student-t distribution with v = 4.46 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 | 1.7388 | 7.25*** |
α ARCH Response to squared shocks | 0.0812 | 17.84*** |
β GARCH Volatility persistence | 0.9573 | 156.94*** |
ν DF Student-t tail thickness | 4.4587 | 6.46*** |
Persistence:
0.957
Half-life:
16 days
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