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 Wednesday, November 20th, 2024:29.85% (-2.24%)

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
$ω$	0.6243	4.82
$α$	0.1193	7.13
$β$	0.6867	14.88
$γ_{1}$	-0.0335	-0.42
$γ_{2}$	-0.0111	-0.10
$γ_{3}$	-0.0129	-0.21
$γ_{4}$	0.1642	2.55
$γ_{5}$	-0.2078	-2.91
$γ_{6}$	0.1837	2.66
$γ_{7}$	-0.1480	-2.29
$γ_{8}$	0.1305	2.24
$γ_{9}$	-0.0736	-1.41
$γ_{10}$	-0.0108	-0.25

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts