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

V-Lab

Warsaw Stock Exchange WIG Total Return Index GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, January 17th, 2022:17.90% (+0.23%)

Analysis last updated: Saturday, January 15, 2022, 05:30 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0214	17.98
$α$	0.0559	15.59
$β$	0.9255	358.32
$γ$	0.0212	3.67

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

News Impact Curve

Volatility Forecasts

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MF2-GARCH

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