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

V-Lab

CBOE Amazon Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 8th, 2025:94.70% (-4.22%)

Analysis last updated: Thursday, May 8, 2025 at 11:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.5073	24.62
$β$	0.4174	20.70
$γ$	-0.5000	-24.18
$λ_{1}$	0.1787	0.32
$λ_{2}$	0.0167	0.81
$λ_{3}$	0.9810	45.37

Estimation Period:
Jan 7, 2011 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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