V-Lab: Merck & Co Inc MF2-GARCH Volatility Analysis

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V-Lab

Merck & Co Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, February 5th, 2025:46.96% (+25.61%)

Analysis last updated: Tuesday, February 4, 2025 at 10:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	81
$α$	0.0162	4.72
$β$	0.9083	174.46
$γ$	0.0613	12.29
$λ_{1}$	0.0015	0.76
$λ_{2}$	0.0028	1.52
$λ_{3}$	0.9966	378.09

Estimation Period:
Jan 2, 1990 to Jan 31, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts