News Corp Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
25.35%
increased by 2.12%
1 Week
26.14%
increased by 2.91%
1 Month
27.26%
increased by 4.03%
Analysis last updated: Tuesday, October 20, 2026 at 10:10 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 19, 2013 to Oct 16, 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 | 1.0822 | 6.23*** |
| αARCH | 0.1462 | 4.24*** |
| βGARCH | 0.6757 | 7.78*** |
Spline Coefficients
K=9
| γ1 | 0.9931 | 2.74*** |
| γ2 | -1.6678 | -2.93*** |
| γ3 | 1.1761 | 2.34** |
| γ4 | -0.7893 | -1.11 |
| γ5 | 0.3626 | 0.49 |
| γ6 | 0.0118 | 0.02 |
| γ7 | -0.4811 | -1.42 |
| γ8 | 0.8452 | 2.72*** |
| γ9 | -0.6032 | -2.83*** |
0.822
Persistence4d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0822 | 6.23*** |
α ARCH Response to squared shocks | 0.1462 | 4.24*** |
β GARCH Volatility persistence | 0.6757 | 7.78*** |
Spline Coefficients
K=9
| γ1 | 0.9931 | 2.74*** |
| γ2 | -1.6678 | -2.93*** |
| γ3 | 1.1761 | 2.34** |
| γ4 | -0.7893 | -1.11 |
| γ5 | 0.3626 | 0.49 |
| γ6 | 0.0118 | 0.02 |
| γ7 | -0.4811 | -1.42 |
| γ8 | 0.8452 | 2.72*** |
| γ9 | -0.6032 | -2.83*** |
Persistence:
0.822
Half-life:
4 days
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