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	1.2708	12.18***
α ARCH Response to squared shocks	0.0807	34.50***
β GARCH Volatility persistence	0.9794	572.43***
ν DF Student-t tail thickness	7.0256	7.17***

V-Lab

Dow Jones South Africa Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones South Africa Index Analyses