V-Lab: Merck KGaA Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Merck KGaA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:27.56% (+0.07%)

Analysis last updated: Saturday, May 4, 2024 at 10:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6231	4.67
$α$	0.1205	7.14
$β$	0.6939	15.45
$γ_{1}$	-0.0320	-0.38
$γ_{2}$	-0.0124	-0.11
$γ_{3}$	-0.0197	-0.29
$γ_{4}$	0.1750	2.57
$γ_{5}$	-0.2077	-2.83
$γ_{6}$	0.1645	2.29
$γ_{7}$	-0.1098	-1.56
$γ_{8}$	0.0741	1.19
$γ_{9}$	-0.0043	-0.08
$γ_{10}$	-0.0630	-1.31

Estimation Period:
Oct 20, 1995 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts