V-Lab: JSE Securities South African Volatility Index GARCH Volatility Analysis

V-Lab

JSE Securities South African Volatility Index GARCH Volatility Analysis

Volatility Prediction for Friday, July 4th, 2025:75.08% (-4.87%)

Analysis last updated: Saturday, July 5, 2025 at 02:14 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8917	13.75
$α$	0.0979	16.87
$β$	0.8373	104.06

Estimation Period:
Feb 1, 2007 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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MF2-GARCH