ExxonMobil Holdings Corp EGARCH Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
19.87%
increased by 1.35%
1 Week
20.02%
increased by 1.50%
1 Month
20.61%
increased by 2.09%
Analysis last updated: Friday, October 23, 2026 at 11:55 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 23, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 82% more than equivalent positive returns.
σ
EGARCH Model
Tap to view equation
Leverage: Negative returns increase volatility 82% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0145 | 3.20*** |
| αARCH | 0.1489 | 9.99*** |
| βGARCH | 0.9853 | 321.77*** |
| γleverage | -0.0432 | -3.50*** |
0.985
Persistence47d
Half-lifeσ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0145 | 3.20*** |
α ARCH Response to squared shocks | 0.1489 | 9.99*** |
β GARCH Volatility persistence | 0.9853 | 321.77*** |
γ leverage Additional response to negative shocks | -0.0432 | -3.50*** |
Persistence:
0.985
Half-life:
47 days
Other ExxonMobil Holdings Corp Analyses
Other EGARCH Analyses on Equities