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 Thursday, June 30th, 2022:26.83% (-1.12%)

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
$ω$	0.0291	21.64
$α$	0.1488	13.18
$β$	0.9809	588.42
$γ$	-0.0123	-1.82

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

News Impact Curve

Volatility Forecasts

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

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