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	0.0306	24.14***
α ARCH Response to squared shocks	0.0374	14.98***
β GARCH Volatility persistence	0.8928	364.26***
γ leverage Additional response to negative shocks	0.0938	15.36***

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Dow Jones South Africa Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones South Africa Index Analyses