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
ωlong-run	70.7981	3.58***
αscore	0.0529	24.24***
βpersistence	0.9990	3,254.07***
νDF	2.1769	832.46***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	70.7981	3.58***
α score Weight on the scaled score	0.0529	24.24***
β persistence Volatility persistence	0.9990	3,254.07***
ν DF Student-t tail thickness	2.1769	832.46***

V-Lab

JSE Securities South African Volatility Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other JSE Securities South African Volatility Index Analyses