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
ωconst	0.9564	4.43***
αARCH	0.1291	3.24***
βGARCH	0.8298	32.41***
γleverage	-0.0327	-0.44

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9564	4.43***
α ARCH Response to squared shocks	0.1291	3.24***
β GARCH Volatility persistence	0.8298	32.41***
γ leverage Additional response to negative shocks	-0.0327	-0.44

V-Lab

JSE Securities South African Volatility Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other JSE Securities South African Volatility Index Analyses