V-Lab
Merck KGaA GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
25.74%
decreased by 0.16%
1 Week
25.82%
decreased by 0.08%
1 Month
26.12%
increased by 0.22%
Analysis last updated: Saturday, August 8, 2026 at 08:16 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 20, 1995 to Aug 7, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 74 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.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.5353 | 3.42*** |
α ARCH Response to squared shocks | 0.0438 | 23.32*** |
β GARCH Volatility persistence | 0.9907 | 358.70*** |
ν DF Student-t tail thickness | 4.3870 | 7.36*** |
Persistence:
0.991
Half-life:
74 days
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