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	1.3039	5.91***
αARCH	0.1315	6.10***
βGARCH	0.6986	18.46***

γ₁	-0.1085	-1.98**
γ₂	0.0553	0.64
γ₃	0.1939	2.50**
γ₄	-0.2803	-3.55***
γ₅	0.2342	3.03***
γ₆	-0.1559	-2.06**
γ₇	0.1498	1.91*
γ₈	-0.1486	-2.10**
γ₉	0.0741	1.76*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3039	5.91***
α ARCH Response to squared shocks	0.1315	6.10***
β GARCH Volatility persistence	0.6986	18.46***

γ₁	-0.1085	-1.98**
γ₂	0.0553	0.64
γ₃	0.1939	2.50**
γ₄	-0.2803	-3.55***
γ₅	0.2342	3.03***
γ₆	-0.1559	-2.06**
γ₇	0.1498	1.91*
γ₈	-0.1486	-2.10**
γ₉	0.0741	1.76*

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