V-Lab
Johnson & Johnson GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
19.00%
decreased by 0.59%
1 Week
19.08%
decreased by 0.51%
1 Month
19.40%
decreased by 0.19%
Analysis last updated: Friday, August 14, 2026 at 10:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 14, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 83 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 | 2.2148 | 4.26*** |
α ARCH Response to squared shocks | 0.0797 | 38.31*** |
β GARCH Volatility persistence | 0.9917 | 487.07*** |
ν DF Student-t tail thickness | 5.8512 | 9.44*** |
Persistence:
0.992
Half-life:
83 days
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