Philippines Stock Exchange PSEi Index EGARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
22.77%
decreased by 0.78%
1 Week
22.88%
decreased by 0.67%
1 Month
23.27%
decreased by 0.28%
Analysis last updated: Friday, October 16, 2026 at 11:49 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Oct 8, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 80% more than equivalent positive returns.
σ
EGARCH Model
Tap to view equation
Leverage: Negative returns increase volatility 80% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0212 | 2.85*** |
| αARCH | 0.1752 | 4.56*** |
| βGARCH | 0.9775 | 147.68*** |
| γleverage | -0.0501 | -3.17*** |
0.978
Persistence30d
Half-lifeσ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0212 | 2.85*** |
α ARCH Response to squared shocks | 0.1752 | 4.56*** |
β GARCH Volatility persistence | 0.9775 | 147.68*** |
γ leverage Additional response to negative shocks | -0.0501 | -3.17*** |
Persistence:
0.978
Half-life:
30 days
Other Philippines Stock Exchange PSEi Index Analyses
Other EGARCH Analyses on Equity Indices