PSI 20 Portuguese Stock Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
11.78%
decreased by 0.57%
1 Week
12.51%
increased by 0.16%
1 Month
14.47%
increased by 2.12%
Analysis last updated: Monday, July 20, 2026 at 05:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 30, 1992 to Jul 17, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 14 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8088 | 5.55*** |
α ARCH Response to squared shocks | 0.1498 | 10.20*** |
β GARCH Volatility persistence | 0.8029 | 49.60*** |
Spline Coefficients
K=7
| γ1 | 0.0921 | 3.60*** |
| γ2 | -0.1929 | -5.38*** |
| γ3 | 0.1856 | 8.04*** |
| γ4 | -0.1202 | -5.26*** |
| γ5 | 0.0178 | 0.73 |
| γ6 | 0.0422 | 1.80* |
| γ7 | -0.0318 | -1.91* |
Persistence:
0.953
Half-life:
14 days
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