V-Lab: Merck KGaA Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Merck KGaA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 7th, 2025:26.99% (+2.87%)

Analysis last updated: Tuesday, January 7, 2025 at 09:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6174	4.76
$α$	0.1182	7.14
$β$	0.6891	15.05
$γ_{1}$	-0.0372	-0.47
$γ_{2}$	-0.0083	-0.08
$γ_{3}$	-0.0081	-0.13
$γ_{4}$	0.1568	2.48
$γ_{5}$	-0.2035	-2.88
$γ_{6}$	0.1850	2.70
$γ_{7}$	-0.1552	-2.46
$γ_{8}$	0.1452	2.54
$γ_{9}$	-0.0980	-1.91
$γ_{10}$	0.0121	0.29

Estimation Period:
Oct 20, 1995 to Jan 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts