V-Lab
Microsoft Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
29.94%
decreased by 1.60%
1 Week
30.02%
decreased by 1.52%
1 Month
30.33%
decreased by 1.21%
Analysis last updated: Friday, August 21, 2026 at 09:59 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 21, 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 = 5.36 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 | 5.1809 | 3.84*** |
α ARCH Response to squared shocks | 0.0707 | 45.32*** |
β GARCH Volatility persistence | 0.9941 | 645.13*** |
ν DF Student-t tail thickness | 5.3616 | 12.41*** |
Persistence:
0.994
Half-life:
118 days
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