Johnson & Johnson GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 13th, 2026
1 Day
32.48%
decreased by 1.64%
1 Week
32.36%
decreased by 1.76%
1 Month
31.91%
decreased by 2.21%
Analysis last updated: Friday, July 10, 2026 at 11:17 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 10, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 86 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 | 2.2655 | 4.23*** |
α ARCH Response to squared shocks | 0.0794 | 39.20*** |
β GARCH Volatility persistence | 0.9920 | 506.39*** |
ν DF Student-t tail thickness | 5.8488 | 9.64*** |
Persistence:
0.992
Half-life:
86 days
Other Johnson & Johnson Analyses
Other GAS-GARCH Student T Analyses on Equities