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
ωlong-run	16.5307	0.77
αscore	0.0789	6.89***
βpersistence	0.9762	32.80***
νDF	2.3521	11.20***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	16.5307	0.77
α score Weight on the scaled score	0.0789	6.89***
β persistence Volatility persistence	0.9762	32.80***
ν DF Student-t tail thickness	2.3521	11.20***

V-Lab

Mustek Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mustek Ltd Analyses