V-Lab
Microsoft Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
34.21%
decreased by 2.06%
1 Week
34.23%
decreased by 2.04%
1 Month
34.32%
decreased by 1.95%
Analysis last updated: Friday, July 24, 2026 at 09:56 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 118 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 = 5.42 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.1847 | 3.88*** |
α ARCH Response to squared shocks | 0.0710 | 45.40*** |
β GARCH Volatility persistence | 0.9942 | 651.90*** |
ν DF Student-t tail thickness | 5.4188 | 12.26*** |
Persistence:
0.994
Half-life:
118 days
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