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	0.0108	6.44***
α ARCH Response to squared shocks	0.1620	36.56***
β GARCH Volatility persistence	0.9727	825.05***
γ leverage Additional response to negative shocks	-0.0734	-17.93***

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Dow Jones South Africa Index EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones South Africa Index Analyses