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 Wednesday, February 5th, 2025:44.74% (+23.40%)

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
$ω$	0.8710	9.81
$α$	0.0689	5.69
$β$	0.8438	24.72
$γ_{1}$	-0.0178	-0.58
$γ_{2}$	0.0486	1.10
$γ_{3}$	-0.0598	-1.78
$γ_{4}$	0.0171	0.43
$γ_{5}$	0.0453	0.70
$γ_{6}$	-0.1093	-1.24
$γ_{7}$	0.1622	1.96
$γ_{8}$	-0.1244	-1.75
$γ_{9}$	0.0580	0.96
$γ_{10}$	-0.0309	-0.83

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

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Volatility Forecasts

Volatility Forecasts