V-Lab: SAP SE MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

SAP SE MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:20.87% (-0.55%)

Analysis last updated: Sunday, May 19, 2024 at 12:01 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0506	13.68
$β$	0.7822	118.72
$γ$	0.1323	18.27
$λ_{1}$	0.0091	3.34
$λ_{2}$	0.0152	4.50
$λ_{3}$	0.9827	240.16

Estimation Period:
Jan 2, 1990 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts