CBOE Amazon Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0187	8.25***
α ARCH Response to squared shocks	0.0113	9.54***
β GARCH Volatility persistence	0.9816	846.97***
γ leverage Additional response to negative shocks	0.0106	4.43***

V-Lab

Amazon.com Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Amazon.com Inc Analyses