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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

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 Jul 24, 2026

Model 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

ParameterValuet-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