Chemung Financial Corp GARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
30.65%
increased by 2.66%
1 Week
31.04%
increased by 3.05%
1 Month
32.22%
increased by 4.23%
Analysis last updated: Friday, July 17, 2026 at 09:51 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 17, 1996 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 16 trading days, meaning a shock loses half its impact after approximately 16 days.
σ
GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2074 | 20.50*** |
α ARCH Response to squared shocks | 0.1405 | 32.72*** |
β GARCH Volatility persistence | 0.8174 | 154.09*** |
Persistence:
0.958
Half-life:
16 days
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