V-Lab
News Corp GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
33.42%
decreased by 2.57%
1 Week
32.34%
decreased by 3.65%
1 Month
30.22%
decreased by 5.77%
Analysis last updated: Friday, July 24, 2026 at 09:56 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
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 66% more than equivalent positive returns.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4194 | 8.91*** |
α ARCH Response to squared shocks | 0.1073 | 8.44*** |
β GARCH Volatility persistence | 0.7260 | 44.33*** |
γ leverage Additional response to negative shocks | 0.0713 | 2.42** |
Persistence:
0.869
Half-life:
5 days
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