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 Tuesday, March 11th, 2025:23.10% (-0.58%)

Analysis last updated: Tuesday, March 11, 2025 at 02:32 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8747	9.84
$α$	0.0660	5.70
$β$	0.8517	26.50
$γ_{1}$	-0.0158	-0.52
$γ_{2}$	0.0461	1.04
$γ_{3}$	-0.0600	-1.79
$γ_{4}$	0.0193	0.49
$γ_{5}$	0.0416	0.67
$γ_{6}$	-0.1050	-1.23
$γ_{7}$	0.1605	1.98
$γ_{8}$	-0.1285	-1.80
$γ_{9}$	0.0692	1.11
$γ_{10}$	-0.0433	-1.09

Estimation Period:
Jan 2, 1990 to Mar 7, 2025

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