Johnson & Johnson Asy. MEM Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
29.32%
decreased by 2.52%
1 Week
29.26%
decreased by 2.58%
1 Month
29.06%
decreased by 2.78%
Analysis last updated: Friday, October 16, 2026 at 11:20 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 16, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 72 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 66% more than positive returns
μ
AMEM Model
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High persistence: persistence 0.990, shock half-life ~72 daysLeverage: Negative returns increase volatility 66% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0263 | 7.55*** |
| αARCH | 0.1346 | 10.83*** |
| βGARCH | 0.8114 | 85.23*** |
| γleverage | 0.0889 | 3.88*** |
0.990
Persistence72d
Half-lifeμ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0263 | 7.55*** |
α ARCH Response to squared shocks | 0.1346 | 10.83*** |
β GARCH Volatility persistence | 0.8114 | 85.23*** |
γ leverage Additional response to negative shocks | 0.0889 | 3.88*** |
Persistence:
0.990
Half-life:
72 days
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