V-Lab
Chevron Corp APARCH Volatility Analysis
Volatility prediction for Wednesday, September 16th, 2026
1 Day
20.51%
1 Week
20.72%
1 Month
21.45%
Analysis last updated: Tuesday, September 15, 2026 at 09:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 11, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 181% more than equivalent positive returns. The volatility power δ = 1.47 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0371 | 5.34*** |
| αARCH | 0.0711 | 8.35*** |
| βGARCH | 0.9191 | 108.60*** |
| γleverage | 0.3390 | 4.89*** |
| δpower | 1.4650 | 7.78*** |
0.982
Persistence38d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0371 | 5.34*** |
α ARCH Response to squared shocks | 0.0711 | 8.35*** |
β GARCH Volatility persistence | 0.9191 | 108.60*** |
γ leverage Additional response to negative shocks | 0.3390 | 4.89*** |
δ power Transformation power | 1.4650 | 7.78*** |
Persistence:
0.982
Half-life:
38 days
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