V-Lab: SAP SE Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

SAP SE Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:18.48% (-0.66%)

Analysis last updated: Sunday, May 19, 2024 at 12:00 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0613	5.12
$α$	0.1089	7.18
$β$	0.7953	32.56
$γ_{1}$	0.0716	1.15
$γ_{2}$	-0.0834	-0.92
$γ_{3}$	0.0317	0.58
$γ_{4}$	-0.1594	-3.48
$γ_{5}$	0.2970	6.71
$γ_{6}$	-0.2444	-5.07
$γ_{7}$	0.1092	1.96
$γ_{8}$	0.0262	0.39
$γ_{9}$	-0.0823	-1.06
$γ_{10}$	-0.0121	-0.12

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

News Impact Curve

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Volatility Forecasts

Volatility Forecasts