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	0.7159	13.17***
α ARCH Response to squared shocks	0.1040	20.24***
β GARCH Volatility persistence	0.8291	129.50***
γ leverage Additional response to negative shocks	-1.4891	-10.25***

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JSE Securities South African Volatility Index AGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other JSE Securities South African Volatility Index Analyses