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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7475	10.48***
α ARCH Response to squared shocks	0.3196	18.23***
β GARCH Volatility persistence	0.5561	14.24***
γ leverage Additional response to negative shocks	0.2246	11.34***

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CBOE Amazon Volatility Index EGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Amazon Volatility Index Analyses