V-Lab
PSI 20 Portuguese Stock Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
11.31%
decreased by 0.22%
1 Week
11.50%
decreased by 0.03%
1 Month
12.18%
increased by 0.65%
Analysis last updated: Friday, August 7, 2026 at 05:05 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
With persistence 0.994, volatility shocks have a half-life of 124 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 = 6.70 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 | 1.9998 | 5.46*** |
α ARCH Response to squared shocks | 0.0959 | 59.43*** |
β GARCH Volatility persistence | 0.9944 | 984.56*** |
ν DF Student-t tail thickness | 6.7039 | 12.62*** |
Persistence:
0.994
Half-life:
124 days
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