DAX Volatility Index

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EURO STOXX 50 Volatility Index

JSE Securities South African Volatility Index

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How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
mwindow	116
αARCH	0.0285	2.35**
βGARCH	0.9182	66.57***
γleverage	0.0569	2.93***
λ₁tau intercept	0.0233	0.67
λ₂forecast adj.	0.0295	1.12
λ₃tau persistence	0.9693	34.91***

Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.0285	2.35**
β GARCH Volatility persistence	0.9182	66.57***
γ leverage Additional response to negative shocks	0.0569	2.93***
λ₁ tau intercept Baseline long-term coefficient	0.0233	0.67
λ₂ forecast adj. Forecast performance sensitivity	0.0295	1.12
λ₃ tau persistence Long-term factor persistence	0.9693	34.91***

V-Lab

African Rainbow Minerals Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other African Rainbow Minerals Ltd Analyses