V-Lab: Warsaw Stock Exchange WIG Total Return Index APARCH Volatility Analysis

V-Lab

Warsaw Stock Exchange WIG Total Return Index APARCH Volatility Analysis

Volatility Prediction for Thursday, June 30th, 2022:21.75% (-0.65%)

Analysis last updated: Thursday, June 30, 2022, 04:41 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0258	15.97
$α$	0.0567	11.26
$β$	0.9139	398.92
$γ$	0.0745	7.19
$δ$	2.6296	19.81

Estimation Period:
Apr 17, 1991 to Jun 24, 2022

News Impact Curve

Volatility Forecasts

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MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH

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