V-Lab
News Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
27.87%
decreased by 1.86%
1 Week
27.89%
decreased by 1.84%
1 Month
27.93%
decreased by 1.80%
Analysis last updated: Tuesday, August 25, 2026 at 09:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 19, 2013 to Aug 21, 2026Model 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 = 4.98 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.1203 | 5.44*** |
α ARCH Response to squared shocks | 0.0854 | 16.06*** |
β GARCH Volatility persistence | 0.9605 | 113.18*** |
ν DF Student-t tail thickness | 4.9815 | 4.20*** |
Persistence:
0.961
Half-life:
17 days
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