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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	1.0000
β GARCH Volatility persistence	0.0035
γ leverage Additional response to negative shocks	-0.0069
λ₁ tau intercept Baseline long-term coefficient	1.0753	36.91***
λ₂ forecast adj. Forecast performance sensitivity	0.2602	30.90***
λ₃ tau persistence Long-term factor persistence	0.0122	0.37

V-Lab

Johnson & Johnson MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Johnson & Johnson Analyses