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, April 17th, 2024:18.17% (+2.64%)

Analysis last updated: Thursday, April 18, 2024 at 07:46 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8806	5.22
$α$	0.0795	8.26
$β$	0.9017	85.08
$γ_{1}$	0.0039	1.86
$γ_{2}$	-0.0034	-1.33

Estimation Period:
Apr 17, 1991 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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