V-Lab
Warsaw Stock Exchange WIG Total Return Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
18.92%
increased by 0.66%
1 Week
19.02%
increased by 0.76%
1 Month
19.39%
increased by 1.13%
Analysis last updated: Friday, July 24, 2026 at 05:47 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
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 | 2.6711 | 10.98*** |
α ARCH Response to squared shocks | 0.0542 | 81.68*** |
β GARCH Volatility persistence | 0.9940 | 1,538.76*** |
ν DF Student-t tail thickness | 3.4269 | 95.54*** |
Persistence:
0.994
Half-life:
116 days
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