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

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PSI 20 Portuguese Stock Index Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, November 14th, 2025:17.66% (-1.66%)

Analysis last updated: Thursday, November 13, 2025 at 04:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8332	5.85
$α$	0.1568	10.34
$β$	0.7914	46.71
$γ_{1}$	0.1058	4.18
$γ_{2}$	-0.2151	-6.07
$γ_{3}$	0.1950	8.26
$γ_{4}$	-0.1125	-4.65
$γ_{5}$	-0.0035	-0.14
$γ_{6}$	0.0700	2.92
$γ_{7}$	-0.0875	-2.42

Estimation Period:
Dec 30, 1992 to Nov 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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