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

V-Lab

CBOE Amazon Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, September 18th, 2025:91.43% (-2.37%)

Analysis last updated: Thursday, September 18, 2025 at 11:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.5068	24.58
$β$	0.4294	21.47
$γ$	-0.5000	-24.19
$λ_{1}$	0.1474	0.33
$λ_{2}$	0.0145	0.78
$λ_{3}$	0.9834	53.79

Estimation Period:
Jan 7, 2011 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other CBOE Amazon Volatility Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T