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

V-Lab

News Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 20th, 2025:15.96% (-0.50%)

Analysis last updated: Tuesday, May 20, 2025 at 02:24 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0692	6.21
$α$	0.1476	3.95
$β$	0.6781	7.39
$γ_{1}$	0.9866	2.76
$γ_{2}$	-1.6602	-2.97
$γ_{3}$	1.1805	2.42
$γ_{4}$	-0.8111	-1.16
$γ_{5}$	0.4101	0.56
$γ_{6}$	-0.0817	-0.17
$γ_{7}$	-0.2945	-0.89
$γ_{8}$	0.4831	1.99

Estimation Period:
Jun 19, 2013 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts