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, April 15th, 2025:37.02% (-1.23%)

Analysis last updated: Wednesday, April 16, 2025 at 01:08 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0596	23.23
$β$	0.8034	97.52
$γ$	0.0861	17.70
$λ_{1}$	0.0093	6.49
$λ_{2}$	0.0385	6.48
$λ_{3}$	0.9572	150.91

Estimation Period:
Apr 17, 1991 to Apr 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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