Warsaw Stock Exchange WIG Total Return Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
20.13%
1 Week
20.20%
1 Month
20.47%
Analysis last updated: Friday, October 23, 2026 at 05:53 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 17, 1991 to Oct 16, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 114 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.46 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 2.6362 | 2.76*** |
| αscore | 0.0540 | 20.28*** |
| βpersistence | 0.9940 | 379.52*** |
| νDF | 3.4574 | 23.04*** |
0.994
Persistence114d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 2.6362 | 2.76*** |
α score Weight on the scaled score | 0.0540 | 20.28*** |
β persistence Volatility persistence | 0.9940 | 379.52*** |
ν DF Student-t tail thickness | 3.4574 | 23.04*** |
Persistence:
0.994
Half-life:
114 days
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