V-Lab
Bristol-Myers Squibb Co APARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
27.69%
decreased by 0.86%
1 Week
27.87%
decreased by 0.68%
1 Month
28.50%
decreased by 0.05%
Analysis last updated: Friday, August 7, 2026 at 10:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 7, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 111% more than equivalent positive returns. The volatility power δ = 1.08 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
σ
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0379 | 14.88*** |
α ARCH Response to squared shocks | 0.0693 | 26.45*** |
β GARCH Volatility persistence | 0.9268 | 323.73*** |
γ leverage Additional response to negative shocks | 0.3331 | 14.56*** |
δ power Transformation power | 1.0789 | 27.78*** |
Persistence:
0.983
Half-life:
40 days
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