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V-Lab

News Corp GJR-GARCH Volatility Analysis

Volatility prediction for Wednesday, August 26th, 2026

1 Day

24.25%

decreased by 1.33%

1 Week

25.27%

decreased by 0.31%

1 Month

27.05%

increased by 1.47%

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 GJR-GARCH

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

This asset exhibits a notable leverage effect: negative returns increase next-day volatility 63% more than equivalent positive returns.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.4181
8.93***
α

ARCH

Response to squared shocks

0.1083
8.52***
β

GARCH

Volatility persistence

0.7267
44.45***
γ

leverage

Additional response to negative shocks

0.0688
2.36**

Persistence:

0.869

Half-life:

5 days