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

V-Lab

News Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 30th, 2025:17.40% (-1.03%)

Analysis last updated: Friday, June 27, 2025 at 10:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0702	6.28
$α$	0.1490	3.98
$β$	0.6748	7.35
$γ_{1}$	0.9571	2.80
$γ_{2}$	-1.6145	-3.04
$γ_{3}$	1.1569	2.55
$γ_{4}$	-0.8032	-1.22
$γ_{5}$	0.4150	0.58
$γ_{6}$	-0.1069	-0.22
$γ_{7}$	-0.2619	-0.81
$γ_{8}$	0.4744	2.01

Estimation Period:
Jun 19, 2013 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts