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

V-Lab

Warsaw Stock Exchange WIG Total Return Index EGARCH Volatility Analysis

Volatility Prediction for Monday, January 17th, 2022:19.58% (+0.54%)

Analysis last updated: Saturday, January 15, 2022, 05:31 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0274	20.78
$α$	0.1433	12.45
$β$	0.9822	634.50
$γ$	-0.0108	-1.61

Estimation Period:
Apr 17, 1991 to Jan 14, 2022

News Impact Curve

Volatility Forecasts

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AGARCH
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Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH

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