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
m window Rolling window length	21
α ARCH Response to squared shocks	0.0717	18.07***
β GARCH Volatility persistence	0.7568	61.02***
γ leverage Additional response to negative shocks	0.0363	7.55***
λ₁ tau intercept Baseline long-term coefficient	0.0156	2.53**
λ₂ forecast adj. Forecast performance sensitivity	0.0102	3.87***
λ₃ tau persistence Long-term factor persistence	0.9855	253.93***

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Woolworths Holdings Ltd/South Africa MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Woolworths Holdings Ltd/South Africa Analyses