V-Lab: Merck KGaA MF2-GARCH Volatility Analysis

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V-Lab

Merck KGaA MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 20th, 2024:30.39% (-3.11%)

Analysis last updated: Thursday, November 21, 2024 at 12:45 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.0643	16.00
$β$	0.6650	50.07
$γ$	0.1051	13.14
$λ_{1}$	0.0077	1.38
$λ_{2}$	0.0111	2.54
$λ_{3}$	0.9868	174.13

Estimation Period:
Oct 20, 1995 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts