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
mwindow	76
αARCH	0.1503	4.40***
βGARCH	0.7525	17.04***
γleverage	-0.0497	-0.98
λ₁tau intercept	0.0448	1.19
λ₂forecast adj.	0.0129	2.12**
λ₃tau persistence	0.9850	144.44***

Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.1503	4.40***
β GARCH Volatility persistence	0.7525	17.04***
γ leverage Additional response to negative shocks	-0.0497	-0.98
λ₁ tau intercept Baseline long-term coefficient	0.0448	1.19
λ₂ forecast adj. Forecast performance sensitivity	0.0129	2.12**
λ₃ tau persistence Long-term factor persistence	0.9850	144.44***

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JSE Securities South African Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other JSE Securities South African Volatility Index Analyses