V-Lab
Microsoft Corp Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
26.36%
decreased by 0.78%
1 Week
26.78%
decreased by 0.36%
1 Month
28.01%
increased by 0.87%
Analysis last updated: Friday, September 11, 2026 at 11:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 11, 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 15 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.3406 | 6.71*** |
| αARCH | 0.0818 | 8.79*** |
| βGARCH | 0.8743 | 67.16*** |
Spline Coefficients
K=9
| γ1 | -0.0007 | -0.02 |
| γ2 | 0.0551 | 1.06 |
| γ3 | -0.1526 | -3.77*** |
| γ4 | 0.1770 | 4.91*** |
| γ5 | -0.1095 | -2.56** |
| γ6 | 0.0413 | 0.74 |
| γ7 | -0.0212 | -0.42 |
| γ8 | 0.0358 | 0.79 |
| γ9 | -0.0415 | -1.28 |
0.956
Persistence15d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3406 | 6.71*** |
α ARCH Response to squared shocks | 0.0818 | 8.79*** |
β GARCH Volatility persistence | 0.8743 | 67.16*** |
Spline Coefficients
K=9
| γ1 | -0.0007 | -0.02 |
| γ2 | 0.0551 | 1.06 |
| γ3 | -0.1526 | -3.77*** |
| γ4 | 0.1770 | 4.91*** |
| γ5 | -0.1095 | -2.56** |
| γ6 | 0.0413 | 0.74 |
| γ7 | -0.0212 | -0.42 |
| γ8 | 0.0358 | 0.79 |
| γ9 | -0.0415 | -1.28 |
Persistence:
0.956
Half-life:
15 days
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