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	0.0715	18.05***
β GARCH Volatility persistence	0.7571	60.87***
γ leverage Additional response to negative shocks	0.0358	7.46***
λ₁ tau intercept Baseline long-term coefficient	0.0156	2.52**
λ₂ forecast adj. Forecast performance sensitivity	0.0102	3.86***
λ₃ tau persistence Long-term factor persistence	0.9855	252.75***

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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