V-Lab: News Corp Zero Slope Spline-GARCH Volatility Analysis

V-Lab

News Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 9th, 2025:19.10% (-0.27%)

Analysis last updated: Thursday, May 8, 2025 at 09:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0687	6.19
$α$	0.1473	3.95
$β$	0.6790	7.40
$γ_{1}$	0.9947	2.75
$γ_{2}$	-1.6729	-2.95
$γ_{3}$	1.1875	2.39
$γ_{4}$	-0.8151	-1.15
$γ_{5}$	0.4125	0.56
$γ_{6}$	-0.0815	-0.17
$γ_{7}$	-0.2923	-0.88
$γ_{8}$	0.4760	1.94

Estimation Period:
Jun 19, 2013 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts