JSE Securities South African Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
mwindow	76
αARCH	0.0123	1.49
βGARCH	0.8457	62.17***
γleverage	0.1322	9.26***
λ₁tau intercept	0.1874	2.13**
λ₂forecast adj.	0.6295	2.58***
λ₃tau persistence	0.2175	0.71

Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0123	1.49
β GARCH Volatility persistence	0.8457	62.17***
γ leverage Additional response to negative shocks	0.1322	9.26***
λ₁ tau intercept Baseline long-term coefficient	0.1874	2.13**
λ₂ forecast adj. Forecast performance sensitivity	0.6295	2.58***
λ₃ tau persistence Long-term factor persistence	0.2175	0.71

V-Lab

Dow Jones South Africa Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones South Africa Index Analyses