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 Tuesday, January 21st, 2025:15.68% (-0.44%)

Analysis last updated: Tuesday, January 21, 2025 at 09:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0605	24.18
$β$	0.8127	113.52
$γ$	0.0813	17.83
$λ_{1}$	0.0099	7.07
$λ_{2}$	0.0403	7.00
$λ_{3}$	0.9549	154.12

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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