V-Lab
Warsaw Stock Exchange WIG Total Return Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
16.94%
decreased by 0.20%
1 Week
17.08%
decreased by 0.06%
1 Month
17.58%
increased by 0.44%
Analysis last updated: Saturday, August 15, 2026 at 05:48 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 17, 1991 to Aug 14, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 116 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 = 3.43 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.6581 | 11.00*** |
α ARCH Response to squared shocks | 0.0541 | 81.62*** |
β GARCH Volatility persistence | 0.9940 | 1,531.62*** |
ν DF Student-t tail thickness | 3.4338 | 94.80*** |
Persistence:
0.994
Half-life:
116 days
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