V-Lab
ExxonMobil Holdings Corp Asy. MEM Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
21.33%
decreased by 0.20%
1 Week
21.47%
decreased by 0.06%
1 Month
21.93%
increased by 0.40%
Analysis last updated: Saturday, October 3, 2026 at 12:07 AM 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 modest leverage effect: negative returns increase next-day volatility 37% more than equivalent positive returns.
μ
AMEM Model
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Leverage: Negative returns increase volatility 37% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0505 | 7.63*** |
| αARCH | 0.1564 | 11.27*** |
| βGARCH | 0.7931 | 75.46*** |
| γleverage | 0.0579 | 2.31** |
0.979
Persistence32d
Half-lifeμ
AMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0505 | 7.63*** |
α ARCH Response to squared shocks | 0.1564 | 11.27*** |
β GARCH Volatility persistence | 0.7931 | 75.46*** |
γ leverage Additional response to negative shocks | 0.0579 | 2.31** |
Persistence:
0.979
Half-life:
32 days
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