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 Wednesday, June 18th, 2025:18.74% (-0.74%)

Analysis last updated: Wednesday, June 18, 2025 at 08:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0593	23.06
$β$	0.8025	98.25
$γ$	0.0870	17.92
$λ_{1}$	0.0092	6.48
$λ_{2}$	0.0380	6.54
$λ_{3}$	0.9576	153.83

Estimation Period:
Apr 17, 1991 to Jun 13, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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