V-Lab: Merck & Co Inc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Merck & Co Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 30th, 2024:20.66% (-0.53%)

Analysis last updated: Friday, December 27, 2024 at 11:38 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8728	9.85
$α$	0.0667	5.64
$β$	0.8486	25.40
$γ_{1}$	-0.0170	-0.55
$γ_{2}$	0.0476	1.07
$γ_{3}$	-0.0589	-1.74
$γ_{4}$	0.0154	0.37
$γ_{5}$	0.0482	0.71
$γ_{6}$	-0.1129	-1.24
$γ_{7}$	0.1651	1.96
$γ_{8}$	-0.1260	-1.75
$γ_{9}$	0.0590	0.97
$γ_{10}$	-0.0315	-0.85

Estimation Period:
Jan 2, 1990 to Dec 27, 2024

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