V-Lab: PSI 20 Portuguese Stock Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

PSI 20 Portuguese Stock Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 1st, 2025:11.82% (-0.36%)

Analysis last updated: Friday, August 29, 2025 at 03:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8272	5.66
$α$	0.1548	10.37
$β$	0.7969	48.31
$γ_{1}$	0.1043	3.98
$γ_{2}$	-0.2129	-5.81
$γ_{3}$	0.1930	7.87
$γ_{4}$	-0.1096	-4.33
$γ_{5}$	-0.0027	-0.11
$γ_{6}$	0.0549	2.46
$γ_{7}$	-0.0330	-2.15

Estimation Period:
Dec 30, 1992 to Aug 29, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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