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	0.8976	14.13***
α ARCH Response to squared shocks	0.1206	11.67***
β GARCH Volatility persistence	0.8360	99.96***
γ leverage Additional response to negative shocks	-0.0442	-2.46**

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JSE Securities South African Volatility Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other JSE Securities South African Volatility Index Analyses