V-Lab
International Business Machines Corp EGARCH Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
33.75%
increased by 0.08%
1 Week
33.78%
increased by 0.11%
1 Month
33.89%
increased by 0.22%
Analysis last updated: Friday, October 2, 2026 at 11:41 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 2, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 98% more than equivalent positive returns.
σ
EGARCH Model
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Leverage: Negative returns increase volatility 98% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0250 | 3.60*** |
| αARCH | 0.1167 | 7.37*** |
| βGARCH | 0.9841 | 257.61*** |
| γleverage | -0.0383 | -2.96*** |
0.984
Persistence43d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0250 | 3.60*** |
α ARCH Response to squared shocks | 0.1167 | 7.37*** |
β GARCH Volatility persistence | 0.9841 | 257.61*** |
γ leverage Additional response to negative shocks | -0.0383 | -2.96*** |
Persistence:
0.984
Half-life:
43 days
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