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	72.2837	14.45***
α ARCH Response to squared shocks	0.0497	89.61***
β GARCH Volatility persistence	0.9990
ν DF Student-t tail thickness	2.1501	3,765.56***

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

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other JSE Securities South African Volatility Index Analyses