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

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8192	6.59***
α ARCH Response to squared shocks	0.1331	7.46***
β GARCH Volatility persistence	0.7914	32.56***

γ₁	-0.0644	-1.32
γ₂	-0.0147	-0.19
γ₃	0.2686	4.19***
γ₄	-0.4267	-6.00***
γ₅	0.4510	5.63***
γ₆	-0.3526	-4.89***
γ₇	0.2173	3.87***
γ₈	-0.1079	-2.96***

V-Lab

Mustek Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mustek Ltd Analyses