CBOE Amazon Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 8th, 2026
1 Day
89.85%
decreased by 3.06%
1 Week
97.73%
increased by 4.82%
1 Month
112.02%
increased by 19.11%
Analysis last updated: Thursday, October 8, 2026 at 11:35 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 2, 2026Model Insight
Volatility shocks decay with a half-life of 6 trading days, meaning a shock loses half its impact after approximately 6 days. Returns follow a Student-t distribution with v = 2.60 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 6-day half-lifev = 2.60 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 60.9349 | 1.00 |
| αARCH | 0.1090 | 2.91*** |
| βGARCH | 0.8863 | 7.52*** |
| νDF | 2.6026 | 2.73*** |
0.886
Persistence6d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 60.9349 | 1.00 |
α ARCH Response to squared shocks | 0.1090 | 2.91*** |
β GARCH Volatility persistence | 0.8863 | 7.52*** |
ν DF Student-t tail thickness | 2.6026 | 2.73*** |
Persistence:
0.886
Half-life:
6 days
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