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, April 22nd, 2025:24.95% (-3.09%)

Analysis last updated: Thursday, April 17, 2025 at 03:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0595	17.96
$β$	0.6919	81.57
$γ$	0.1940	28.74
$λ_{1}$	0.0065	3.62
$λ_{2}$	0.0504	8.22
$λ_{3}$	0.9451	145.98

Estimation Period:
Dec 30, 1992 to Apr 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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