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
mwindow	21
αARCH	0.0727	4.68***
βGARCH	0.7521	21.03***
γleverage	0.0362	1.92*
λ₁tau intercept	0.0157	2.15**
λ₂forecast adj.	0.0103	3.46***
λ₃tau persistence	0.9854	225.91***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0727	4.68***
β GARCH Volatility persistence	0.7521	21.03***
γ leverage Additional response to negative shocks	0.0362	1.92*
λ₁ tau intercept Baseline long-term coefficient	0.0157	2.15**
λ₂ forecast adj. Forecast performance sensitivity	0.0103	3.46***
λ₃ tau persistence Long-term factor persistence	0.9854	225.91***

V-Lab

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