V-Lab
News Corp Spline-GARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
35.22%
increased by 7.04%
1 Week
32.70%
increased by 4.52%
1 Month
27.52%
decreased by 0.66%
Analysis last updated: Friday, August 7, 2026 at 10:00 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 19, 2013 to Aug 7, 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 5 trading days.
τ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7309 | 8.78*** |
α ARCH Response to squared shocks | 0.1540 | 5.02*** |
β GARCH Volatility persistence | 0.7124 | 11.15*** |
Spline Coefficients
K=1
| γ1 | -0.0148 | -2.52** |
Persistence:
0.866
Half-life:
5 days
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