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	0.6908	4.85***
αARCH	0.1344	4.36***
βGARCH	0.6594	10.51***

γ₁	0.0393	0.26
γ₂	-0.1694	-0.78
γ₃	0.3784	2.33**
γ₄	-0.5254	-2.40**
γ₅	0.4290	1.82*
γ₆	-0.0212	-0.11
γ₇	-0.4737	-2.55**
γ₈	0.6542	3.29***
γ₉	-0.3539	-1.37

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6908	4.85***
α ARCH Response to squared shocks	0.1344	4.36***
β GARCH Volatility persistence	0.6594	10.51***

γ₁	0.0393	0.26
γ₂	-0.1694	-0.78
γ₃	0.3784	2.33**
γ₄	-0.5254	-2.40**
γ₅	0.4290	1.82*
γ₆	-0.0212	-0.11
γ₇	-0.4737	-2.55**
γ₈	0.6542	3.29***
γ₉	-0.3539	-1.37

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