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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 19, 2013 to Jul 24, 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 = 4.94 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 | 3.1206 | 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
Other GAS-GARCH Student T Analyses on Equities