V-Lab: JSE Securities South African Volatility Index MF2-GARCH Volatility Analysis

V-Lab

JSE Securities South African Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 30th, 2025:60.10% (-3.20%)

Analysis last updated: Friday, May 30, 2025 at 11:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.1480	15.43
$β$	0.7450	44.58
$γ$	-0.0546	-4.06
$λ_{1}$	0.0469	1.71
$λ_{2}$	0.0085	2.19
$λ_{3}$	0.9883	192.64

Estimation Period:
Feb 1, 2007 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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