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	0.6624	5.00***
α ARCH Response to squared shocks	0.1212	4.40***
β GARCH Volatility persistence	0.7147	12.49***

γ₁	-0.1495	-1.99**
γ₂	0.2837	2.47**
γ₃	-0.2872	-2.75***
γ₄	0.3400	3.13***
γ₅	-0.3729	-3.81***
γ₆	0.3344	3.07***

V-Lab

JSE Securities South African Volatility Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other JSE Securities South African Volatility Index Analyses