JSE Securities South African Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	16.5677	3.05***
α ARCH Response to squared shocks	0.0788	27.98***
β GARCH Volatility persistence	0.9768	133.94***
ν DF Student-t tail thickness	2.3559	45.10***

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Mustek Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

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