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

V-Lab

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V-Lab

Merck KGaA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:26.82% (-0.23%)

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
$ω$	0.6175	4.75
$α$	0.1183	7.12
$β$	0.6892	15.00
$γ_{1}$	-0.0361	-0.45
$γ_{2}$	-0.0092	-0.09
$γ_{3}$	-0.0109	-0.17
$γ_{4}$	0.1617	2.52
$γ_{5}$	-0.2061	-2.89
$γ_{6}$	0.1826	2.64
$γ_{7}$	-0.1472	-2.28
$γ_{8}$	0.1299	2.23
$γ_{9}$	-0.0733	-1.40
$γ_{10}$	-0.0108	-0.25

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

News Impact Curve

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Volatility Forecasts

Volatility Forecasts