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 Friday, August 22nd, 2025:16.35% (+0.02%)

Analysis last updated: Friday, August 22, 2025 at 08:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0590	22.96
$β$	0.8028	98.79
$γ$	0.0874	18.02
$λ_{1}$	0.0092	6.50
$λ_{2}$	0.0379	6.55
$λ_{3}$	0.9577	154.29

Estimation Period:
Apr 17, 1991 to Aug 15, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Warsaw Stock Exchange WIG Total Return Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T