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	1.5016	11.25***
α ARCH Response to squared shocks	0.0697	7.45***
β GARCH Volatility persistence	0.8804	54.26***

γ₁	0.0060	4.50***
γ₂	-0.0068	-4.07***

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Woolworths Holdings Ltd/South Africa Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Woolworths Holdings Ltd/South Africa Analyses