V-Lab: Warsaw Stock Exchange WIG Total Return Index MF2-GARCH Volatility Analysis

V-Lab

Warsaw Stock Exchange WIG Total Return Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 30th, 2025:19.26% (-0.94%)

Analysis last updated: Sunday, June 29, 2025 at 02:19 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0593	23.04
$β$	0.8024	98.21
$γ$	0.0871	17.93
$λ_{1}$	0.0092	6.48
$λ_{2}$	0.0381	6.54
$λ_{3}$	0.9576	153.63

Estimation Period:
Apr 17, 1991 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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