V-Lab: PSI 20 Portuguese Stock Index MF2-GARCH Volatility Analysis

V-Lab

PSI 20 Portuguese Stock Index MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 1st, 2025:15.20% (+2.25%)

Analysis last updated: Monday, June 30, 2025 at 03:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0603	18.26
$β$	0.6915	83.34
$γ$	0.1944	28.97
$λ_{1}$	0.0064	3.66
$λ_{2}$	0.0489	8.34
$λ_{3}$	0.9464	151.81

Estimation Period:
Dec 30, 1992 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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