V-Lab
Merck KGaA GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
22.80%
decreased by 0.81%
1 Week
22.95%
decreased by 0.66%
1 Month
23.50%
decreased by 0.11%
Analysis last updated: Saturday, August 22, 2026 at 08:17 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 20, 1995 to Aug 21, 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 = 4.38 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 | 3.5243 | 3.42*** |
α ARCH Response to squared shocks | 0.0439 | 23.26*** |
β GARCH Volatility persistence | 0.9907 | 355.84*** |
ν DF Student-t tail thickness | 4.3833 | 7.34*** |
Persistence:
0.991
Half-life:
74 days
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