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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Bristol-Myers Squibb Co GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Aug 21, 2026

Model 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

ParameterValuet-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