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 Monday, June 5th, 2023:25.79% (+1.86%)

Analysis last updated: Saturday, June 3, 2023 at 05:00 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0638	24.31
$β$	0.8050	107.92
$γ$	0.0837	17.51
$λ_{1}$	0.0106	6.97
$λ_{2}$	0.0434	6.94
$λ_{3}$	0.9518	141.96

Estimation Period:
Apr 17, 1991 to Jun 2, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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