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	0.1511	4.43***
βGARCH	0.7537	17.18***
γleverage	-0.0514	-1.01
λ₁tau intercept	0.0460	1.20
λ₂forecast adj.	0.0128	2.08**
λ₃tau persistence	0.9849	142.17***

Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.1511	4.43***
β GARCH Volatility persistence	0.7537	17.18***
γ leverage Additional response to negative shocks	-0.0514	-1.01
λ₁ tau intercept Baseline long-term coefficient	0.0460	1.20
λ₂ forecast adj. Forecast performance sensitivity	0.0128	2.08**
λ₃ tau persistence Long-term factor persistence	0.9849	142.17***

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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