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
ω const Unconditional variance weight	0.6657	4.99***
α ARCH Response to squared shocks	0.1214	4.35***
β GARCH Volatility persistence	0.7166	12.65***

γ₁	-0.1454	-1.93*
γ₂	0.2758	2.40**
γ₃	-0.2770	-2.65***
γ₄	0.3195	3.00***
γ₅	-0.3248	-3.71***
γ₆	0.2030	3.52***

V-Lab

JSE Securities South African Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other JSE Securities South African Volatility Index Analyses