JSE Securities South African Volatility Index

CBOE Emerging Market Markets Volatility Index

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
ωconst	16.8502	0.76
αARCH	0.0792	6.90***
βGARCH	0.9761	32.56***
νDF	2.3444	11.45***

Parameter	Value	t-statistic
ω const Unconditional variance weight	16.8502	0.76
α ARCH Response to squared shocks	0.0792	6.90***
β GARCH Volatility persistence	0.9761	32.56***
ν DF Student-t tail thickness	2.3444	11.45***

V-Lab

Mustek Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mustek Ltd Analyses