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 Monday, May 5th, 2025:24.39% (+0.89%)

Analysis last updated: Sunday, May 4, 2025 at 01:00 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0594	23.02
$β$	0.8017	96.89
$γ$	0.0868	17.79
$λ_{1}$	0.0094	6.41
$λ_{2}$	0.0388	6.45
$λ_{3}$	0.9569	149.07

Estimation Period:
Apr 17, 1991 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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