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EURO STOXX 50 Volatility Index

JSE Securities South African Volatility Index

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How volatility evolves over time

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{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
ωconst	0.7999	5.76***
αARCH	0.0533	5.22***
βGARCH	0.9131	50.65***

γ₁	-0.1586	-1.89*
γ₂	0.1919	1.59
γ₃	0.1144	1.55
γ₄	-0.3383	-4.43***
γ₅	0.3186	3.97***
γ₆	-0.2151	-3.14***
γ₇	0.1194	2.41**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7999	5.76***
α ARCH Response to squared shocks	0.0533	5.22***
β GARCH Volatility persistence	0.9131	50.65***

γ₁	-0.1586	-1.89*
γ₂	0.1919	1.59
γ₃	0.1144	1.55
γ₄	-0.3383	-4.43***
γ₅	0.3186	3.97***
γ₆	-0.2151	-3.14***
γ₇	0.1194	2.41**

V-Lab

African Rainbow Minerals Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other African Rainbow Minerals Ltd Analyses