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
mwindow	126
αARCH	0.0969	4.52***
βGARCH	0.7622	26.78***
γleverage	0.0549	1.86*
λ₁tau intercept	1.1723	2.62***
λ₂forecast adj.	0.8326	6.05***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0969	4.52***
β GARCH Volatility persistence	0.7622	26.78***
γ leverage Additional response to negative shocks	0.0549	1.86*
λ₁ tau intercept Baseline long-term coefficient	1.1723	2.62***
λ₂ forecast adj. Forecast performance sensitivity	0.8326	6.05***
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

Other Mustek Ltd Analyses