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	0.0966	16.06***
β GARCH Volatility persistence	0.7651	117.27***
γ leverage Additional response to negative shocks	0.0553	6.86***
λ₁ tau intercept Baseline long-term coefficient	1.1804	0.27
λ₂ forecast adj. Forecast performance sensitivity	0.8308	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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