V-Lab
Chevron Corp AGARCH Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
21.24%
decreased by 0.64%
1 Week
21.42%
decreased by 0.46%
1 Month
22.03%
increased by 0.15%
Analysis last updated: Friday, October 2, 2026 at 11:27 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
The news-impact curve is shifted (γ = 0.58) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
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Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0310 | 3.66*** |
| αARCH | 0.0707 | 10.11*** |
| βGARCH | 0.9075 | 116.81*** |
| γleverage | 0.5768 | 6.28*** |
0.978
Persistence31d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0310 | 3.66*** |
α ARCH Response to squared shocks | 0.0707 | 10.11*** |
β GARCH Volatility persistence | 0.9075 | 116.81*** |
γ leverage Additional response to negative shocks | 0.5768 | 6.28*** |
Persistence:
0.978
Half-life:
31 days
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