V-Lab
PSI 20 Portuguese Stock Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
11.31%
decreased by 0.37%
1 Week
11.49%
decreased by 0.19%
1 Month
12.18%
increased by 0.50%
Analysis last updated: Monday, August 24, 2026 at 05:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 30, 1992 to Aug 21, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 123 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 6.72 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.9967 | 5.47*** |
α ARCH Response to squared shocks | 0.0960 | 59.38*** |
β GARCH Volatility persistence | 0.9944 | 983.58*** |
ν DF Student-t tail thickness | 6.7182 | 12.57*** |
Persistence:
0.994
Half-life:
123 days
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