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

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V-Lab

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

Volatility Prediction for Monday, December 23rd, 2024:18.07% (-0.09%)

Analysis last updated: Saturday, December 21, 2024 at 07:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0604	24.08
$β$	0.8124	113.35
$γ$	0.0816	17.84
$λ_{1}$	0.0100	7.06
$λ_{2}$	0.0405	6.99
$λ_{3}$	0.9547	153.05

Estimation Period:
Apr 17, 1991 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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