Bristol-Myers Squibb Co GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
24.87%
decreased by 1.14%
1 Week
24.91%
decreased by 1.10%
1 Month
25.06%
decreased by 0.95%
Analysis last updated: Thursday, October 8, 2026 at 09:51 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
Volatility shocks decay with a half-life of 59 trading days, meaning a shock loses half its impact after approximately 59 days. Returns follow a Student-t distribution with v = 4.92 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 59-day half-lifev = 4.92 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.8061 | 1.12 |
| αARCH | 0.0552 | 6.87*** |
| βGARCH | 0.9884 | 91.36*** |
| νDF | 4.9155 | 1.90* |
0.988
Persistence59d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.8061 | 1.12 |
α ARCH Response to squared shocks | 0.0552 | 6.87*** |
β GARCH Volatility persistence | 0.9884 | 91.36*** |
ν DF Student-t tail thickness | 4.9155 | 1.90* |
Persistence:
0.988
Half-life:
59 days
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