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V-Lab

Bristol-Myers Squibb Co MF2-GARCH Volatility Analysis

Volatility prediction for Monday, August 10th, 2026

1 Day

27.84%

decreased by 1.19%

1 Week

27.96%

decreased by 1.07%

1 Month

28.35%

decreased by 0.68%

Analysis last updated: Friday, August 7, 2026 at 10:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Bristol-Myers Squibb Co MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Aug 7, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 137% more than equivalent positive returns.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

116
α

ARCH

Response to squared shocks

0.0522
17.54***
β

GARCH

Volatility persistence

0.8158
114.63***
γ

leverage

Additional response to negative shocks

0.0713
12.04***
λ₁

tau intercept

Baseline long-term coefficient

0.0290
1.74*
λ₂

forecast adj.

Forecast performance sensitivity

0.0326
2.24**
λ₃

tau persistence

Long-term factor persistence

0.9572
47.85***

Persistence:

0.904

Half-life:

7 days