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 Monday, May 19th, 2025:99.96% (+11.65%)

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
$ω$	1.1139	6.42
$α$	0.4622	4.62
$β$	0.0185	0.99
$γ_{1}$	0.1301	2.68
$γ_{2}$	-0.2319	-3.03
$γ_{3}$	0.1411	2.76
$γ_{4}$	-0.0416	-1.35

Estimation Period:
Jan 7, 2011 to May 16, 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
GAS-GARCH Student T
MF2-GARCH