V-Lab
JSE Securities South African Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, August 21st, 2026
1 Day
109.25%
decreased by 5.33%
1 Week
104.38%
decreased by 10.20%
1 Month
90.17%
decreased by 24.41%
Analysis last updated: Friday, August 21, 2026 at 08:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 1, 2007 to Apr 4, 2025Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 58% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
GJR-GARCH Model
Tap to view equation
| 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** |
Persistence:
0.934
Half-life:
10 days
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