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

V-Lab

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

Volatility Prediction for Tuesday, November 23rd, 2021:21.97% (-0.71%)

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
$ω$	0.0225	21.02
$α$	0.1561	52.06
$β$	0.8386	277.32
$γ$	0.1349	17.49
$δ$	1.2747	20.73

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. MEM
GAS-GARCH Student T
MF2-GARCH

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