Microsoft Corp Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, November 9th, 2026
1 Day
39.66%
decreased by 1.88%
1 Week
39.03%
decreased by 2.51%
1 Month
37.05%
decreased by 4.49%
Analysis last updated: Friday, November 6, 2026 at 11:30 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 Nov 6, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 16 trading days.
τ
Zero Slope Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2999 | 6.38*** |
| αARCH | 0.0815 | 8.76*** |
| βGARCH | 0.8748 | 67.57*** |
Spline Coefficients
K=9
| γ1 | -0.0008 | -0.02 |
| γ2 | 0.0522 | 1.00 |
| γ3 | -0.1470 | -3.58*** |
| γ4 | 0.1731 | 4.69*** |
| γ5 | -0.1074 | -2.62*** |
| γ6 | 0.0393 | 0.72 |
| γ7 | -0.0181 | -0.37 |
| γ8 | 0.0330 | 0.74 |
| γ9 | -0.0406 | -1.26 |
0.956
Persistence16d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2999 | 6.38*** |
α ARCH Response to squared shocks | 0.0815 | 8.76*** |
β GARCH Volatility persistence | 0.8748 | 67.57*** |
Spline Coefficients
K=9
| γ1 | -0.0008 | -0.02 |
| γ2 | 0.0522 | 1.00 |
| γ3 | -0.1470 | -3.58*** |
| γ4 | 0.1731 | 4.69*** |
| γ5 | -0.1074 | -2.62*** |
| γ6 | 0.0393 | 0.72 |
| γ7 | -0.0181 | -0.37 |
| γ8 | 0.0330 | 0.74 |
| γ9 | -0.0406 | -1.26 |
Persistence:
0.956
Half-life:
16 days
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