JSE Securities South African Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.7791
β GARCH Volatility persistence	0.0005
γ leverage Additional response to negative shocks	0.4408
λ₁ tau intercept Baseline long-term coefficient	1.0217	46.05***
λ₂ forecast adj. Forecast performance sensitivity	0.0947	53.37***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Dow Jones South Africa Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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