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 Tuesday, July 29th, 2025:17.97% (+2.64%)

Analysis last updated: Tuesday, July 29, 2025 at 10:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0591	23.03
$β$	0.8030	98.93
$γ$	0.0873	18.00
$λ_{1}$	0.0092	6.52
$λ_{2}$	0.0379	6.55
$λ_{3}$	0.9577	154.44

Estimation Period:
Apr 17, 1991 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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