V-Lab
Microsoft Corp AGARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
27.91%
decreased by 1.15%
1 Week
28.15%
decreased by 0.91%
1 Month
28.97%
decreased by 0.09%
Analysis last updated: Friday, September 11, 2026 at 11:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 11, 2026Model Insight
The news-impact curve is shifted (γ = 0.56) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
Tap to view equation
Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0589 | 3.34*** |
| αARCH | 0.0777 | 10.11*** |
| βGARCH | 0.9041 | 125.05*** |
| γleverage | 0.5568 | 3.47*** |
0.982
Persistence38d
Half-lifeσ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0589 | 3.34*** |
α ARCH Response to squared shocks | 0.0777 | 10.11*** |
β GARCH Volatility persistence | 0.9041 | 125.05*** |
γ leverage Additional response to negative shocks | 0.5568 | 3.47*** |
Persistence:
0.982
Half-life:
38 days
Other Microsoft Corp Analyses
Other AGARCH Analyses on Equities