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	0.8223	6.62***
α ARCH Response to squared shocks	0.1332	7.44***
β GARCH Volatility persistence	0.7914	32.44***

γ₁	-0.0621	-1.27
γ₂	-0.0198	-0.25
γ₃	0.2750	4.26***
γ₄	-0.4329	-6.02***
γ₅	0.4543	5.64***
γ₆	-0.3522	-4.86***
γ₇	0.2162	3.84***
γ₈	-0.1081	-2.94***

V-Lab

Mustek Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mustek Ltd Analyses