V-Lab: Merck KGaA MF2-GARCH Volatility Analysis

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V-Lab

Merck KGaA MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:24.60% (-0.52%)

Analysis last updated: Tuesday, November 12, 2024 at 08:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.0644	16.02
$β$	0.6650	50.08
$γ$	0.1050	13.12
$λ_{1}$	0.0077	1.39
$λ_{2}$	0.0111	2.54
$λ_{3}$	0.9868	174.28

Estimation Period:
Oct 20, 1995 to Nov 8, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts