CBOE Amazon Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	1.2892	5.86***
αARCH	0.1321	6.09***
βGARCH	0.6952	18.15***

γ₁	-0.1104	-2.00**
γ₂	0.0564	0.65
γ₃	0.1960	2.53**
γ₄	-0.2825	-3.58***
γ₅	0.2356	3.05***
γ₆	-0.1571	-2.07**
γ₇	0.1508	1.92*
γ₈	-0.1482	-2.09**
γ₉	0.0727	1.73*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2892	5.86***
α ARCH Response to squared shocks	0.1321	6.09***
β GARCH Volatility persistence	0.6952	18.15***

γ₁	-0.1104	-2.00**
γ₂	0.0564	0.65
γ₃	0.1960	2.53**
γ₄	-0.2825	-3.58***
γ₅	0.2356	3.05***
γ₆	-0.1571	-2.07**
γ₇	0.1508	1.92*
γ₈	-0.1482	-2.09**
γ₉	0.0727	1.73*

V-Lab

Amazon.com Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Amazon.com Inc Analyses