V-Lab: Chevron Corp MF2-GARCH Volatility Analysis

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V-Lab

Chevron Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:27.65% (-0.99%)

Analysis last updated: Friday, December 20, 2024 at 11:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	86
$α$	0.0284	15.70
$β$	0.8989	269.14
$γ$	0.0786	24.34
$λ_{1}$	0.0107	7.31
$λ_{2}$	0.0218	5.63
$λ_{3}$	0.9737	215.86

Estimation Period:
Jan 2, 1990 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts