V-Lab
CBOE Amazon Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
95.90%
decreased by 1.25%
1 Week
100.23%
increased by 3.08%
1 Month
109.74%
increased by 12.59%
Analysis last updated: Friday, August 7, 2026 at 11:37 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 5.12*** |
α ARCH Response to squared shocks | 0.1447 | 4.40*** |
β GARCH Volatility persistence | 0.8410 | 47.76*** |
γ leverage Additional response to negative shocks | -0.1447 | -4.29*** |
Persistence:
0.913
Half-life:
8 days
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