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	0.0979	18.03***
α ARCH Response to squared shocks	0.0359	12.81***
β GARCH Volatility persistence	0.9233	376.70***
γ leverage Additional response to negative shocks	0.0367	6.76***

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Woolworths Holdings Ltd/South Africa GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Woolworths Holdings Ltd/South Africa Analyses