CBOE Amazon Volatility Index AGARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
101.64%
decreased by 4.47%
1 Week
106.86%
increased by 0.75%
1 Month
109.55%
increased by 3.44%
Analysis last updated: Friday, October 16, 2026 at 11:31 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Oct 9, 2026Model Insight
The news-impact curve is shifted (γ = -8.11) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
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Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 15.0000 | 3.49*** |
| αARCH | 0.1097 | 3.87*** |
| βGARCH | 0.4310 | 5.41*** |
| γleverage | -8.1138 | -5.19*** |
0.541
Persistence1d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 15.0000 | 3.49*** |
α ARCH Response to squared shocks | 0.1097 | 3.87*** |
β GARCH Volatility persistence | 0.4310 | 5.41*** |
γ leverage Additional response to negative shocks | -8.1138 | -5.19*** |
Persistence:
0.541
Half-life:
1 days
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