CBOE Amazon Volatility Index APARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
84.73%
1 Week
101.08%
1 Month
114.02%
Analysis last updated: Monday, October 12, 2026 at 11:36 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Oct 9, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 132% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets. The volatility power δ = 0.54 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0000 | 1.03 |
| αARCH | 0.1547 | 3.08*** |
| βGARCH | 0.5457 | 3.55*** |
| γleverage | -0.6492 | -3.69*** |
| δpower | 0.5425 | 1.59 |
0.664
Persistence2d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0000 | 1.03 |
α ARCH Response to squared shocks | 0.1547 | 3.08*** |
β GARCH Volatility persistence | 0.5457 | 3.55*** |
γ leverage Additional response to negative shocks | -0.6492 | -3.69*** |
δ power Transformation power | 0.5425 | 1.59 |
Persistence:
0.664
Half-life:
2 days
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