V-Lab
News Corp Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, September 16th, 2026
1 Day
28.32%
decreased by 3.07%
1 Week
27.97%
decreased by 3.42%
1 Month
27.46%
decreased by 3.93%
Analysis last updated: Wednesday, September 16, 2026 at 02:36 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 19, 2013 to Sep 11, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 4 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0829 | 6.15*** |
| αARCH | 0.1481 | 4.27*** |
| βGARCH | 0.6755 | 7.79*** |
Spline Coefficients
K=9
| γ1 | 1.0100 | 2.69*** |
| γ2 | -1.6946 | -2.87*** |
| γ3 | 1.1918 | 2.26** |
| γ4 | -0.7987 | -1.08 |
| γ5 | 0.3643 | 0.49 |
| γ6 | 0.0316 | 0.07 |
| γ7 | -0.5189 | -1.51 |
| γ8 | 0.8543 | 2.72*** |
| γ9 | -0.5757 | -2.65*** |
0.824
Persistence4d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0829 | 6.15*** |
α ARCH Response to squared shocks | 0.1481 | 4.27*** |
β GARCH Volatility persistence | 0.6755 | 7.79*** |
Spline Coefficients
K=9
| γ1 | 1.0100 | 2.69*** |
| γ2 | -1.6946 | -2.87*** |
| γ3 | 1.1918 | 2.26** |
| γ4 | -0.7987 | -1.08 |
| γ5 | 0.3643 | 0.49 |
| γ6 | 0.0316 | 0.07 |
| γ7 | -0.5189 | -1.51 |
| γ8 | 0.8543 | 2.72*** |
| γ9 | -0.5757 | -2.65*** |
Persistence:
0.824
Half-life:
4 days
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