V-Lab
Bristol-Myers Squibb Co MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
28.02%
decreased by 1.16%
1 Week
28.15%
decreased by 1.03%
1 Month
28.57%
decreased by 0.61%
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
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 135% more than equivalent positive returns.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 116 | |
α ARCH Response to squared shocks | 0.0525 | 17.62*** |
β GARCH Volatility persistence | 0.8156 | 114.54*** |
γ leverage Additional response to negative shocks | 0.0709 | 11.98*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0290 | 1.74* |
λ₂ forecast adj. Forecast performance sensitivity | 0.0327 | 2.25** |
λ₃ tau persistence Long-term factor persistence | 0.9572 | 47.89*** |
Persistence:
0.904
Half-life:
7 days
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