JSE Securities South African Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1480	15.43***
β GARCH Volatility persistence	0.7450	44.58***
γ leverage Additional response to negative shocks	-0.0546	-4.06***
λ₁ tau intercept Baseline long-term coefficient	0.0469	1.71*
λ₂ forecast adj. Forecast performance sensitivity	0.0085	2.19**
λ₃ tau persistence Long-term factor persistence	0.9883	192.64***

V-Lab

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