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, June 2nd, 2025:20.76% (-0.88%)

Analysis last updated: Saturday, May 31, 2025 at 08:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0594	23.05
$β$	0.8022	97.94
$γ$	0.0871	17.91
$λ_{1}$	0.0092	6.47
$λ_{2}$	0.0382	6.53
$λ_{3}$	0.9575	153.12

Estimation Period:
Apr 17, 1991 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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