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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0181	5.38***
β GARCH Volatility persistence	0.9057	164.73***
γ leverage Additional response to negative shocks	0.0598	12.24***
λ₁ tau intercept Baseline long-term coefficient	0.0021	0.83
λ₂ forecast adj. Forecast performance sensitivity	0.0031	1.42
λ₃ tau persistence Long-term factor persistence	0.9961	311.88***

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Merck & Co Inc MF2-GARCH Volatility Analysis

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Volatility Forecast

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