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

V-Lab

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

Volatility Prediction for Thursday, June 30th, 2022:21.36% (-0.95%)

Analysis last updated: Thursday, June 30, 2022, 04:42 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	1.6767	7.11
$α$	0.0807	7.93
$β$	0.8995	80.36
$γ_{1}$	0.0015	4.81

Estimation Period:
Apr 17, 1991 to Jun 24, 2022

News Impact Curve

Volatility Forecasts

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