CBOE Amazon Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0409	15.19***
β GARCH Volatility persistence	0.7668	90.25***
γ leverage Additional response to negative shocks	0.1363	18.67***
λ₁ tau intercept Baseline long-term coefficient	0.0097	1.30
λ₂ forecast adj. Forecast performance sensitivity	0.0129	2.21**
λ₃ tau persistence Long-term factor persistence	0.9859	140.62***

V-Lab

Amazon.com Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Amazon.com Inc Analyses