V-Lab: News Corp MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

News Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, February 5th, 2025:20.30% (+1.60%)

Analysis last updated: Tuesday, February 4, 2025 at 10:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.1095	12.97
$β$	0.5952	23.86
$γ$	0.0458	4.08
$λ_{1}$	0.9397	0.25
$λ_{2}$	0.7129	0.25
$λ_{3}$	0.0000	0.00

Estimation Period:
Jun 19, 2013 to Jan 31, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts