V-Lab
JSE Securities South African Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Friday, May 16th, 2025:62.12% (-3.74%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.6657 | 4.99 | |
| 0.1214 | 4.35 | |
| 0.7166 | 12.65 | |
| -0.1454 | -1.93 | |
| 0.2758 | 2.40 | |
| -0.2770 | -2.65 | |
| 0.3195 | 3.00 | |
| -0.3248 | -3.71 | |
| 0.2030 | 3.52 |
Estimation Period:
Feb 1, 2007 to Apr 4, 2025
Feb 1, 2007 to Apr 4, 2025
News Impact Curve
Volatility Forecasts
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