V-Lab
Warsaw Stock Exchange WIG Total Return Index Asy. Power MEM Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
17.40%
1 Week
17.00%
1 Month
15.71%
Analysis last updated: Saturday, September 12, 2026 at 12:48 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 16, 2000 to Sep 10, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 40% more than equivalent positive returns. The volatility power δ = 1.15 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0232 | 5.87*** |
| αARCH | 0.1511 | 14.37*** |
| βGARCH | 0.8430 | 78.47*** |
| γleverage | 0.1467 | 5.15*** |
| δpower | 1.1467 | 4.90*** |
0.965
Persistence20d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0232 | 5.87*** |
α ARCH Response to squared shocks | 0.1511 | 14.37*** |
β GARCH Volatility persistence | 0.8430 | 78.47*** |
γ leverage Additional response to negative shocks | 0.1467 | 5.15*** |
δ power Transformation power | 1.1467 | 4.90*** |
Persistence:
0.965
Half-life:
20 days
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