V-Lab
ExxonMobil Holdings Corp EGARCH Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
20.84%
decreased by 1.22%
1 Week
20.97%
decreased by 1.09%
1 Month
21.47%
decreased by 0.59%
Analysis last updated: Monday, October 5, 2026 at 09:58 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 82% more than equivalent positive returns.
σ
EGARCH Model
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Leverage: Negative returns increase volatility 82% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0146 | 3.20*** |
| αARCH | 0.1497 | 10.00*** |
| βGARCH | 0.9851 | 319.64*** |
| γleverage | -0.0435 | -3.52*** |
0.985
Persistence46d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0146 | 3.20*** |
α ARCH Response to squared shocks | 0.1497 | 10.00*** |
β GARCH Volatility persistence | 0.9851 | 319.64*** |
γ leverage Additional response to negative shocks | -0.0435 | -3.52*** |
Persistence:
0.985
Half-life:
46 days
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