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
ωconst	0.6759	4.67***
αARCH	0.1350	4.45***
βGARCH	0.6645	10.88***

γ₁	0.0094	0.06
γ₂	-0.1222	-0.55
γ₃	0.3495	2.12**
γ₄	-0.5057	-2.28**
γ₅	0.4145	1.73*
γ₆	-0.0068	-0.03
γ₇	-0.4969	-2.76***
γ₈	0.7083	4.10***
γ₉	-0.5085	-4.04***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6759	4.67***
α ARCH Response to squared shocks	0.1350	4.45***
β GARCH Volatility persistence	0.6645	10.88***

γ₁	0.0094	0.06
γ₂	-0.1222	-0.55
γ₃	0.3495	2.12**
γ₄	-0.5057	-2.28**
γ₅	0.4145	1.73*
γ₆	-0.0068	-0.03
γ₇	-0.4969	-2.76***
γ₈	0.7083	4.10***
γ₉	-0.5085	-4.04***

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