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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

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 Aug 21, 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 = 4.98 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

3.1203
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