V-Lab
International Business Machines Corp EGARCH Volatility Analysis
Volatility prediction for Tuesday, August 11th, 2026
1 Day
45.35%
decreased by 2.13%
1 Week
45.05%
decreased by 2.43%
1 Month
43.95%
decreased by 3.53%
Analysis last updated: Monday, August 10, 2026 at 09:46 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 notable leverage effect: negative returns increase next-day volatility 96% more than equivalent positive returns.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0238 | 13.91*** |
α ARCH Response to squared shocks | 0.1140 | 29.30*** |
β GARCH Volatility persistence | 0.9854 | 1,003.44*** |
γ leverage Additional response to negative shocks | -0.0370 | -11.58*** |
Persistence:
0.985
Half-life:
47 days
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