Warsaw Stock Exchange WIG Total Return Index APARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
14.94%
decreased by 0.27%
1 Week
15.16%
decreased by 0.05%
1 Month
15.93%
increased by 0.72%
Analysis last updated: Tuesday, July 21, 2026 at 05:51 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 17, 1991 to Jul 17, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 56% more than equivalent positive returns. The volatility power δ = 2.57 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.
σ
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0266 | 16.86*** |
α ARCH Response to squared shocks | 0.0560 | 12.32*** |
β GARCH Volatility persistence | 0.9158 | 424.36*** |
γ leverage Additional response to negative shocks | 0.0859 | 8.47*** |
δ power Transformation power | 2.5733 | 21.13*** |
Persistence:
0.988
Half-life:
59 days
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