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, April 22nd, 2024:28.25% (-0.97%)

Analysis last updated: Saturday, April 20, 2024 at 11:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6229	4.66
$α$	0.1205	7.14
$β$	0.6947	15.51
$γ_{1}$	-0.0320	-0.38
$γ_{2}$	-0.0122	-0.11
$γ_{3}$	-0.0205	-0.30
$γ_{4}$	0.1760	2.58
$γ_{5}$	-0.2077	-2.83
$γ_{6}$	0.1631	2.27
$γ_{7}$	-0.1073	-1.51
$γ_{8}$	0.0709	1.13
$γ_{9}$	-0.0008	-0.01
$γ_{10}$	-0.0655	-1.35

Estimation Period:
Oct 20, 1995 to Apr 19, 2024

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Volatility Forecasts

Volatility Forecasts