V-Lab
Microsoft Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
25.92%
decreased by 1.05%
1 Week
26.06%
decreased by 0.91%
1 Month
26.60%
decreased by 0.37%
Analysis last updated: Friday, September 11, 2026 at 11:13 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
With persistence 0.994, volatility shocks have a half-life of 117 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.37 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
High persistence: persistence 0.994, shock half-life ~117 daysv = 5.37 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.1461 | 0.96 |
| αARCH | 0.0709 | 11.22*** |
| βGARCH | 0.9941 | 158.64*** |
| νDF | 5.3686 | 3.07*** |
0.994
Persistence117d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.1461 | 0.96 |
α ARCH Response to squared shocks | 0.0709 | 11.22*** |
β GARCH Volatility persistence | 0.9941 | 158.64*** |
ν DF Student-t tail thickness | 5.3686 | 3.07*** |
Persistence:
0.994
Half-life:
117 days
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