V-Lab: Merck KGaA Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Merck KGaA Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:24.15% (-0.24%)

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
$ω$	0.6168	4.78
$α$	0.1178	7.06
$β$	0.6874	14.74
$γ_{1}$	-0.0397	-0.50
$γ_{2}$	0.0007	0.01
$γ_{3}$	-0.0271	-0.44
$γ_{4}$	0.1831	2.89
$γ_{5}$	-0.2280	-3.25
$γ_{6}$	0.2010	2.94
$γ_{7}$	-0.1582	-2.45
$γ_{8}$	0.1282	2.18
$γ_{9}$	-0.0490	-0.84
$γ_{10}$	-0.0879	-0.93

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

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