V-Lab
News Corp Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
24.96%
decreased by 1.62%
1 Week
25.81%
decreased by 0.77%
1 Month
27.02%
increased by 0.44%
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 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
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0949 | 6.21*** |
α ARCH Response to squared shocks | 0.1477 | 4.24*** |
β GARCH Volatility persistence | 0.6754 | 7.72*** |
Spline Coefficients
K=9
| γ1 | 1.0337 | 2.74*** |
| γ2 | -1.7257 | -2.90*** |
| γ3 | 1.2004 | 2.24** |
| γ4 | -0.7972 | -1.07 |
| γ5 | 0.3559 | 0.48 |
| γ6 | 0.0491 | 0.10 |
| γ7 | -0.5485 | -1.59 |
| γ8 | 0.8934 | 2.83*** |
| γ9 | -0.6107 | -2.75*** |
Persistence:
0.823
Half-life:
4 days
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