V-Lab: Warsaw Stock Exchange WIG Total Return Index Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Warsaw Stock Exchange WIG Total Return Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 20th, 2024:20.95% (+2.46%)

Analysis last updated: Thursday, November 21, 2024 at 02:48 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8884	5.28
$α$	0.0785	8.29
$β$	0.9029	86.38
$γ_{1}$	0.0040	1.99
$γ_{2}$	-0.0036	-1.48

Estimation Period:
Apr 17, 1991 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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