V-Lab: Johnson & Johnson Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Johnson & Johnson Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:23.88% (-1.42%)

Analysis last updated: Friday, May 3, 2024 at 10:38 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2829	11.26
$α$	0.0899	7.81
$β$	0.8564	51.26
$γ_{1}$	0.0153	1.98
$γ_{2}$	-0.0413	-3.38
$γ_{3}$	0.0458	4.95
$γ_{4}$	-0.0115	-1.06
$γ_{5}$	-0.0266	-1.08

Estimation Period:
Jan 2, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts