V-Lab
Chevron Corp GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
25.80%
increased by 0.09%
1 Week
25.77%
increased by 0.06%
1 Month
25.66%
decreased by 0.05%
Analysis last updated: Friday, August 7, 2026 at 10:33 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 7, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0420 | 20.70*** |
α ARCH Response to squared shocks | 0.0345 | 16.65*** |
β GARCH Volatility persistence | 0.9183 | 457.31*** |
γ leverage Additional response to negative shocks | 0.0602 | 12.69*** |
Persistence:
0.983
Half-life:
40 days
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