V-Lab
Johnson & Johnson Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
19.71%
increased by 0.06%
1 Week
19.87%
increased by 0.22%
1 Month
20.30%
increased by 0.65%
Analysis last updated: Monday, October 5, 2026 at 09:50 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 2, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 12 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2463 | 11.37*** |
| αARCH | 0.0884 | 7.75*** |
| βGARCH | 0.8563 | 49.53*** |
Spline Coefficients
K=5
| γ1 | 0.0082 | 1.26 |
| γ2 | -0.0299 | -2.82*** |
| γ3 | 0.0451 | 4.84*** |
| γ4 | -0.0261 | -2.80*** |
| γ5 | -0.0013 | -0.19 |
0.945
Persistence12d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2463 | 11.37*** |
α ARCH Response to squared shocks | 0.0884 | 7.75*** |
β GARCH Volatility persistence | 0.8563 | 49.53*** |
Spline Coefficients
K=5
| γ1 | 0.0082 | 1.26 |
| γ2 | -0.0299 | -2.82*** |
| γ3 | 0.0451 | 4.84*** |
| γ4 | -0.0261 | -2.80*** |
| γ5 | -0.0013 | -0.19 |
Persistence:
0.945
Half-life:
12 days
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