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, August 15th, 2022:20.81% (-0.61%)

Analysis last updated: Monday, August 15, 2022, 02:11 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0230	17.84
$α$	0.0574	15.63
$β$	0.9222	355.93
$γ$	0.0245	4.14

Estimation Period:
Apr 17, 1991 to Aug 12, 2022

News Impact Curve

Volatility Forecasts

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