V-Lab
PSI 20 Portuguese Stock Index EGARCH Volatility Analysis
Volatility prediction for Tuesday, August 11th, 2026
1 Day
11.46%
decreased by 0.24%
1 Week
11.80%
increased by 0.10%
1 Month
13.02%
increased by 1.32%
Analysis last updated: Monday, August 10, 2026 at 05:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 30, 1992 to Aug 7, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 72% more than equivalent positive returns.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0082 | 7.29*** |
α ARCH Response to squared shocks | 0.2350 | 55.42*** |
β GARCH Volatility persistence | 0.9659 | 826.29*** |
γ leverage Additional response to negative shocks | -0.0624 | -16.25*** |
Persistence:
0.966
Half-life:
20 days
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