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Merck KGaA MF2-GARCH Volatility Analysis

Volatility prediction for Friday, September 11th, 2026

1 Day

25.74%

decreased by 0.51%

1 Week

26.79%

increased by 0.54%

1 Month

27.66%

increased by 1.41%

Analysis last updated: Friday, September 11, 2026 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Merck KGaA MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Oct 20, 1995 to Sep 4, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 147% more than equivalent positive returns.

σ

MF2-GARCH Model

Tap to view equation

Leverage: Negative returns increase volatility 147% more than positive returns
ParamValuet-stat
mwindow31
αARCH0.0711
4.42***
βGARCH0.6505
13.78***
γleverage0.1043
3.20***
λ₁tau intercept0.0078
1.85*
λ₂forecast adj.0.0108
3.74***
λ₃tau persistence0.9870
265.18***

0.774

Persistence

3d

Half-life
σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

31
α

ARCH

Response to squared shocks

0.0711
4.42***
β

GARCH

Volatility persistence

0.6505
13.78***
γ

leverage

Additional response to negative shocks

0.1043
3.20***
λ₁

tau intercept

Baseline long-term coefficient

0.0078
1.85*
λ₂

forecast adj.

Forecast performance sensitivity

0.0108
3.74***
λ₃

tau persistence

Long-term factor persistence

0.9870
265.18***

Persistence:

0.774

Half-life:

3 days