V-Lab
News Corp Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
28.77%
increased by 0.92%
1 Week
28.50%
increased by 0.65%
1 Month
28.10%
increased by 0.25%
Analysis last updated: Monday, September 28, 2026 at 09:29 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 19, 2013 to Sep 25, 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 | 1.0836 | 6.21*** |
| αARCH | 0.1453 | 4.22*** |
| βGARCH | 0.6771 | 7.77*** |
Spline Coefficients
K=9
| γ1 | 1.0087 | 2.73*** |
| γ2 | -1.6903 | -2.91*** |
| γ3 | 1.1850 | 2.29** |
| γ4 | -0.7896 | -1.08 |
| γ5 | 0.3550 | 0.48 |
| γ6 | 0.0346 | 0.07 |
| γ7 | -0.5209 | -1.53 |
| γ8 | 0.8821 | 2.83*** |
| γ9 | -0.6197 | -2.89*** |
0.822
Persistence4d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0836 | 6.21*** |
α ARCH Response to squared shocks | 0.1453 | 4.22*** |
β GARCH Volatility persistence | 0.6771 | 7.77*** |
Spline Coefficients
K=9
| γ1 | 1.0087 | 2.73*** |
| γ2 | -1.6903 | -2.91*** |
| γ3 | 1.1850 | 2.29** |
| γ4 | -0.7896 | -1.08 |
| γ5 | 0.3550 | 0.48 |
| γ6 | 0.0346 | 0.07 |
| γ7 | -0.5209 | -1.53 |
| γ8 | 0.8821 | 2.83*** |
| γ9 | -0.6197 | -2.89*** |
Persistence:
0.822
Half-life:
4 days
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