V-Lab
Merck KGaA GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
19.31%
1 Week
19.56%
1 Month
20.46%
Analysis last updated: Saturday, September 19, 2026 at 08:50 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 20, 1995 to Sep 18, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 73 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.39 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.5115 | 0.86 |
| αARCH | 0.0445 | 5.81*** |
| βGARCH | 0.9905 | 87.93*** |
| νDF | 4.3863 | 1.84* |
0.991
Persistence73d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.5115 | 0.86 |
α ARCH Response to squared shocks | 0.0445 | 5.81*** |
β GARCH Volatility persistence | 0.9905 | 87.93*** |
ν DF Student-t tail thickness | 4.3863 | 1.84* |
Persistence:
0.991
Half-life:
73 days
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