V-Lab
Johnson & Johnson GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
22.29%
decreased by 1.12%
1 Week
22.31%
decreased by 1.10%
1 Month
22.40%
decreased by 1.01%
Analysis last updated: Tuesday, August 25, 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 Aug 21, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 85 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.85 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.2387 | 4.23*** |
α ARCH Response to squared shocks | 0.0792 | 38.79*** |
β GARCH Volatility persistence | 0.9919 | 498.69*** |
ν DF Student-t tail thickness | 5.8485 | 9.53*** |
Persistence:
0.992
Half-life:
85 days
Other Johnson & Johnson Analyses
Other GAS-GARCH Student T Analyses on Equities