V-Lab
CBOE Amazon Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
85.22%
decreased by 14.48%
1 Week
104.42%
increased by 4.72%
1 Month
113.37%
increased by 13.67%
Analysis last updated: Thursday, October 1, 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 Sep 25, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 1 trading day.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1296 | 5.92*** |
| αARCH | 0.5285 | 5.11*** |
| βGARCH | 0.0138 | 0.88 |
Spline Coefficients
K=4
| γ1 | 0.0909 | 2.40** |
| γ2 | -0.1739 | -2.96*** |
| γ3 | 0.1145 | 2.85*** |
| γ4 | -0.0304 | -1.29 |
0.542
Persistence1d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1296 | 5.92*** |
α ARCH Response to squared shocks | 0.5285 | 5.11*** |
β GARCH Volatility persistence | 0.0138 | 0.88 |
Spline Coefficients
K=4
| γ1 | 0.0909 | 2.40** |
| γ2 | -0.1739 | -2.96*** |
| γ3 | 0.1145 | 2.85*** |
| γ4 | -0.0304 | -1.29 |
Persistence:
0.542
Half-life:
1 days
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