WSE Benchmark is preparing to implement an update to the WIBIX System allowing automatic calculation of transactional interest rate indices for the O/N term. WIRD and WIRF indices will be based on unsecured deposits and WRR on conditional transactions.
"The main finding of the study is that high O/N index volatility is a characteristic of the domestic money market as opposed to foreign indices of this type, which is confirmed by comparing the transaction indices proposed by the WSIB to the POLONIA rate – developed by the National Bank of Poland and present on the Polish money market for a long time. What is important, the application of extreme value cut-off procedures does not allow for significant reduction of index volatility," the report reads.
The second important finding is that the increased information resource has a positive impact on the index volatility, meaning that the larger the dataset, from which the index can be calculated, the lower the volatility of a given index.