V-Lab: JSE Securities South African Volatility Index Spline-GARCH Volatility Analysis

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V-Lab

JSE Securities South African Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, October 24th, 2025:69.87% (+12.18%)

Analysis last updated: Saturday, October 25, 2025 at 03:11 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6624	5.00
$α$	0.1212	4.40
$β$	0.7147	12.49
$γ_{1}$	-0.1495	-1.99
$γ_{2}$	0.2837	2.47
$γ_{3}$	-0.2872	-2.75
$γ_{4}$	0.3400	3.13
$γ_{5}$	-0.3729	-3.81
$γ_{6}$	0.3344	3.07

Estimation Period:
Feb 1, 2007 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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