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	1.4995	11.25***
α ARCH Response to squared shocks	0.0693	7.44***
β GARCH Volatility persistence	0.8812	54.66***

γ₁	0.0059	4.48***
γ₂	-0.0067	-4.05***

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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