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

V-Lab

PSI 20 Portuguese Stock Index Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 22nd, 2025:28.06% (-3.05%)

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
$ω$	0.8474	5.82
$α$	0.1535	10.14
$β$	0.7981	47.09
$γ_{1}$	0.1138	4.33
$γ_{2}$	-0.2274	-6.16
$γ_{3}$	0.1977	7.81
$γ_{4}$	-0.1037	-3.89
$γ_{5}$	-0.0164	-0.62
$γ_{6}$	0.0751	2.85
$γ_{7}$	-0.0720	-1.45

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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