V-Lab: PSI 20 Portuguese Stock Index Asy. Power MEM Volatility Analysis

V-Lab

PSI 20 Portuguese Stock Index Asy. Power MEM Volatility Analysis

Volatility Prediction for Tuesday, January 18th, 2022:12.77% (-0.71%)

Analysis last updated: Monday, January 17, 2022, 04:36 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0264	28.75
$α$	0.2424	75.38
$β$	0.7538	242.93
$γ$	0.1417	27.86
$δ$	1.1524	25.49

Estimation Period:
Jul 18, 1997 to Jan 14, 2022

News Impact Curve

Volatility Forecasts

Other PSI 20 Portuguese Stock Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
GAS-GARCH Student T
MF2-GARCH

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