Bristol-Myers Squibb Co Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 27th, 2026
1 Day
34.22%
decreased by 1.84%
1 Week
33.72%
decreased by 2.34%
1 Month
32.40%
decreased by 3.66%
Analysis last updated: Monday, October 26, 2026 at 09:36 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 23, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 9 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9860 | 8.43*** |
| αARCH | 0.0791 | 7.88*** |
| βGARCH | 0.8501 | 45.97*** |
Spline Coefficients
K=9
| γ1 | -0.0032 | -0.09 |
| γ2 | 0.0817 | 1.62 |
| γ3 | -0.1943 | -6.35*** |
| γ4 | 0.1890 | 7.01*** |
| γ5 | -0.1181 | -3.78*** |
| γ6 | 0.1141 | 2.71*** |
| γ7 | -0.1469 | -2.95*** |
| γ8 | 0.1331 | 2.83*** |
| γ9 | -0.0762 | -2.51** |
0.929
Persistence9d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9860 | 8.43*** |
α ARCH Response to squared shocks | 0.0791 | 7.88*** |
β GARCH Volatility persistence | 0.8501 | 45.97*** |
Spline Coefficients
K=9
| γ1 | -0.0032 | -0.09 |
| γ2 | 0.0817 | 1.62 |
| γ3 | -0.1943 | -6.35*** |
| γ4 | 0.1890 | 7.01*** |
| γ5 | -0.1181 | -3.78*** |
| γ6 | 0.1141 | 2.71*** |
| γ7 | -0.1469 | -2.95*** |
| γ8 | 0.1331 | 2.83*** |
| γ9 | -0.0762 | -2.51** |
Persistence:
0.929
Half-life:
9 days
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