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Merck KGaA MF2-GARCH Volatility Analysis

Volatility prediction for Monday, September 21st, 2026

1 Day

24.53%

increased by 1.11%

1 Week

25.81%

increased by 2.39%

1 Month

26.90%

increased by 3.48%

Analysis last updated: Saturday, September 19, 2026 at 08:50 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 18, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 144% more than equivalent positive returns.

σ

MF2-GARCH Model

Tap to view equation

Leverage: Negative returns increase volatility 144% more than positive returns
ParamValuet-stat
mwindow31
αARCH0.0718
4.46***
βGARCH0.6511
13.83***
γleverage0.1034
3.18***
λ₁tau intercept0.0079
1.85*
λ₂forecast adj.0.0109
3.72***
λ₃tau persistence0.9869
262.27***

0.775

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

0.0718
4.46***
β

GARCH

Volatility persistence

0.6511
13.83***
γ

leverage

Additional response to negative shocks

0.1034
3.18***
λ₁

tau intercept

Baseline long-term coefficient

0.0079
1.85*
λ₂

forecast adj.

Forecast performance sensitivity

0.0109
3.72***
λ₃

tau persistence

Long-term factor persistence

0.9869
262.27***

Persistence:

0.775

Half-life:

3 days