V-Lab: CBOE Amazon Volatility Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

CBOE Amazon Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 8th, 2025:91.23% (-0.70%)

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
$ω$	1.1184	6.37
$α$	0.4666	4.63
$β$	0.0208	1.05
$γ_{1}$	0.1316	2.68
$γ_{2}$	-0.2341	-3.03
$γ_{3}$	0.1419	2.74
$γ_{4}$	-0.0416	-1.33

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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