V-Lab
PSI 20 Portuguese Stock Index Asy. Power MEM Volatility Analysis
Volatility prediction for Monday, September 7th, 2026
1 Day
10.44%
decreased by 0.41%
1 Week
10.29%
decreased by 0.56%
1 Month
9.84%
decreased by 1.01%
Analysis last updated: Friday, September 4, 2026 at 05:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 18, 1997 to Sep 4, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 35% more than equivalent positive returns. The volatility power δ = 1.10 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
μ
APMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0275 | 7.82*** |
α ARCH Response to squared shocks | 0.2371 | 19.76*** |
β GARCH Volatility persistence | 0.7567 | 64.47*** |
γ leverage Additional response to negative shocks | 0.1357 | 6.89*** |
δ power Transformation power | 1.1047 | 6.51*** |
Persistence:
0.948
Half-life:
13 days
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