Microsoft Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
26.43%
increased by 1.39%
1 Week
26.56%
increased by 1.52%
1 Month
27.06%
increased by 2.02%
Analysis last updated: Friday, October 16, 2026 at 10:23 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 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 = 5.38 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.994, shock half-life ~117 daysv = 5.38 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.1303 | 0.96 |
| αARCH | 0.0707 | 11.22*** |
| βGARCH | 0.9941 | 158.95*** |
| νDF | 5.3814 | 3.05*** |
0.994
Persistence117d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.1303 | 0.96 |
α ARCH Response to squared shocks | 0.0707 | 11.22*** |
β GARCH Volatility persistence | 0.9941 | 158.95*** |
ν DF Student-t tail thickness | 5.3814 | 3.05*** |
Persistence:
0.994
Half-life:
117 days
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