  In this paper, we analyse the South African implied volatility in various
setting. We assess the information content in SAVI implied volatility using
daily markets data. Our empirical application is focused on the FTSE/JSE Top 40
index and we emphasize our models performance in distinct sub-periods. Our
results are compared with VIX/VXN and S&P 500/NASDAQ 100 data in some points
which are taken as our benchmark. We find a significant negative relationship
between returns and volatility, in line with the results found in other
markets. Finally, the link between SAVI, VIX and VXN are undertaken to examine
the equity market transmission with respect to uncertainty.
