V-Lab: CBOE Amazon Volatility Index MF2-GARCH Volatility Analysis

V-Lab

CBOE Amazon Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 19th, 2025:94.61% (-2.99%)

Analysis last updated: Monday, May 19, 2025 at 11:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.5068	24.60
$β$	0.4195	20.81
$γ$	-0.5000	-24.21
$λ_{1}$	0.1753	0.32
$λ_{2}$	0.0165	0.80
$λ_{3}$	0.9812	46.14

Estimation Period:
Jan 7, 2011 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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