V-Lab
Johnson & Johnson Asy. MEM Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
19.16%
decreased by 0.69%
1 Week
19.32%
decreased by 0.53%
1 Month
19.90%
increased by 0.05%
Analysis last updated: Monday, September 28, 2026 at 09:45 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 25, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 71 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 ~71 daysLeverage: Negative returns increase volatility 66% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0263 | 7.56*** |
| αARCH | 0.1344 | 10.81*** |
| βGARCH | 0.8113 | 85.08*** |
| γleverage | 0.0892 | 3.89*** |
0.990
Persistence71d
Half-lifeμ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0263 | 7.56*** |
α ARCH Response to squared shocks | 0.1344 | 10.81*** |
β GARCH Volatility persistence | 0.8113 | 85.08*** |
γ leverage Additional response to negative shocks | 0.0892 | 3.89*** |
Persistence:
0.990
Half-life:
71 days
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