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, October 4th, 2022:29.42% (-2.01%)

Analysis last updated: Wednesday, October 5, 2022, 01:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0644	24.30
$β$	0.8037	106.84
$γ$	0.0839	17.42
$λ_{1}$	0.0106	6.91
$λ_{2}$	0.0441	6.94
$λ_{3}$	0.9512	139.68

Estimation Period:
Apr 17, 1991 to Sep 30, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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