JSE Securities South African Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0964	16.04***
β GARCH Volatility persistence	0.7655	117.63***
γ leverage Additional response to negative shocks	0.0554	6.87***
λ₁ tau intercept Baseline long-term coefficient	1.1866	0.26
λ₂ forecast adj. Forecast performance sensitivity	0.8284	0.26
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Mustek Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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