Chevron Corp GJR-GARCH Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
20.84%
increased by 1.21%
1 Week
20.99%
increased by 1.36%
1 Month
21.51%
increased by 1.88%
Analysis last updated: Friday, October 23, 2026 at 11:08 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 23, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 174% more than equivalent positive returns.
σ
GJR-GARCH Model
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Leverage: Negative returns increase volatility 174% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0418 | 5.18*** |
| αARCH | 0.0344 | 4.18*** |
| βGARCH | 0.9187 | 115.01*** |
| γleverage | 0.0598 | 3.17*** |
0.983
Persistence40d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0418 | 5.18*** |
α ARCH Response to squared shocks | 0.0344 | 4.18*** |
β GARCH Volatility persistence | 0.9187 | 115.01*** |
γ leverage Additional response to negative shocks | 0.0598 | 3.17*** |
Persistence:
0.983
Half-life:
40 days
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