Boston Scientific Corp GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 13th, 2026
1 Day
45.67%
decreased by 0.73%
1 Week
45.66%
decreased by 0.74%
1 Month
45.63%
decreased by 0.77%
Analysis last updated: Friday, July 10, 2026 at 10:53 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 20, 1992 to Jul 10, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 172 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 300% more than positive returns
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0318 | 10.58*** |
α ARCH Response to squared shocks | 0.0130 | 11.80*** |
β GARCH Volatility persistence | 0.9634 | 721.65*** |
γ leverage Additional response to negative shocks | 0.0391 | 14.52*** |
Persistence:
0.996
Half-life:
172 days
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