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V-Lab

News Corp GAS-GARCH Student T Volatility Analysis

Volatility prediction for Monday, July 27th, 2026

1 Day

33.32%

decreased by 0.22%

1 Week

32.95%

decreased by 0.59%

1 Month

31.78%

decreased by 1.76%

Analysis last updated: Friday, July 24, 2026 at 09:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of News Corp GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jun 19, 2013 to Jul 24, 2026

Model Insight

Volatility shocks decay with a half-life of 17 trading days, meaning a shock loses half its impact after approximately 17 days. Returns follow a Student-t distribution with v = 4.94 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

3.1206
5.32***
α

ARCH

Response to squared shocks

0.0849
15.96***
β

GARCH

Volatility persistence

0.9608
111.92***
ν

DF

Student-t tail thickness

4.9428
4.17***

Persistence:

0.961

Half-life:

17 days