V-Lab: Warsaw Stock Exchange WIG Total Return Index Asy. MEM Volatility Analysis

V-Lab

Warsaw Stock Exchange WIG Total Return Index Asy. MEM Volatility Analysis

Volatility Prediction for Tuesday, November 23rd, 2021:21.25% (-0.76%)

Analysis last updated: Monday, November 22, 2021, 09:46 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0251	22.81
$α$	0.1157	30.03
$β$	0.8413	291.30
$γ$	0.0535	7.48

Estimation Period:
Nov 16, 2000 to Nov 19, 2021

News Impact Curve

Volatility Forecasts

Other Warsaw Stock Exchange WIG Total Return Index Analyses
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GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH

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