V-Lab: SAP SE Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

SAP SE Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:26.23% (-0.59%)

Analysis last updated: Saturday, May 4, 2024 at 10:37 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9933	4.67
$α$	0.1109	7.31
$β$	0.7955	33.14
$γ_{1}$	0.0430	0.67
$γ_{2}$	-0.0384	-0.41
$γ_{3}$	0.0011	0.02
$γ_{4}$	-0.1320	-2.85
$γ_{5}$	0.2720	6.04
$γ_{6}$	-0.2222	-4.48
$γ_{7}$	0.0891	1.54
$γ_{8}$	0.0473	0.66
$γ_{9}$	-0.1135	-1.39
$γ_{10}$	0.0650	1.16

Estimation Period:
Jan 2, 1990 to May 3, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts