Dow Jones South Africa Index AGARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
14.43%
decreased by 0.71%
1 Week
14.68%
decreased by 0.46%
1 Month
15.49%
increased by 0.35%
Analysis last updated: Friday, October 30, 2026 at 06:38 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1992 to Oct 22, 2026Model Insight
The news-impact curve is shifted (γ = 0.46) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
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Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0191 | 3.22*** |
| αARCH | 0.0865 | 9.83*** |
| βGARCH | 0.8867 | 87.38*** |
| γleverage | 0.4552 | 6.38*** |
0.973
Persistence25d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0191 | 3.22*** |
α ARCH Response to squared shocks | 0.0865 | 9.83*** |
β GARCH Volatility persistence | 0.8867 | 87.38*** |
γ leverage Additional response to negative shocks | 0.4552 | 6.38*** |
Persistence:
0.973
Half-life:
25 days
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