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	0.6706	4.63***
αARCH	0.1344	4.43***
βGARCH	0.6660	10.95***

γ₁	0.0002	0.00
γ₂	-0.1098	-0.50
γ₃	0.3457	2.12**
γ₄	-0.5070	-2.30**
γ₅	0.4220	1.77*
γ₆	-0.0210	-0.11
γ₇	-0.4800	-2.68***
γ₈	0.6924	4.05***
γ₉	-0.4957	-4.03***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6706	4.63***
α ARCH Response to squared shocks	0.1344	4.43***
β GARCH Volatility persistence	0.6660	10.95***

γ₁	0.0002	0.00
γ₂	-0.1098	-0.50
γ₃	0.3457	2.12**
γ₄	-0.5070	-2.30**
γ₅	0.4220	1.77*
γ₆	-0.0210	-0.11
γ₇	-0.4800	-2.68***
γ₈	0.6924	4.05***
γ₉	-0.4957	-4.03***

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