V-Lab
Bristol-Myers Squibb Co GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
31.63%
decreased by 0.94%
1 Week
31.53%
decreased by 1.04%
1 Month
31.15%
decreased by 1.42%
Analysis last updated: Tuesday, August 25, 2026 at 09:38 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 21, 2026Model Insight
Volatility shocks decay with a half-life of 61 trading days, meaning a shock loses half its impact after approximately 61 days. Returns follow a Student-t distribution with v = 4.91 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 | 2.8370 | 4.42*** |
α ARCH Response to squared shocks | 0.0550 | 27.74*** |
β GARCH Volatility persistence | 0.9887 | 371.41*** |
ν DF Student-t tail thickness | 4.9108 | 7.71*** |
Persistence:
0.989
Half-life:
61 days
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