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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 19, 2013 to Aug 21, 2026Model 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
| Parameter | Value | t-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
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