Microsoft Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, November 9th, 2026
1 Day
35.86%
1 Week
35.87%
1 Month
35.90%
Analysis last updated: Friday, November 6, 2026 at 11:31 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Nov 6, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 123 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 = 5.56 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 5.3232 | 0.95 |
| αscore | 0.0712 | 11.40*** |
| βpersistence | 0.9944 | 165.92*** |
| νDF | 5.5575 | 2.95*** |
0.994
Persistence123d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 5.3232 | 0.95 |
α score Weight on the scaled score | 0.0712 | 11.40*** |
β persistence Volatility persistence | 0.9944 | 165.92*** |
ν DF Student-t tail thickness | 5.5575 | 2.95*** |
Persistence:
0.994
Half-life:
123 days
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