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 Wednesday, November 20th, 2024:24.21% (+4.25%)

Analysis last updated: Thursday, November 21, 2024 at 02:48 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0607	24.19
$β$	0.8121	113.24
$γ$	0.0818	17.83
$λ_{1}$	0.0100	7.09
$λ_{2}$	0.0407	7.00
$λ_{3}$	0.9546	152.88

Estimation Period:
Apr 17, 1991 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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