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, April 22nd, 2024:22.90% (+2.18%)

Analysis last updated: Saturday, April 20, 2024 at 11:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0466	4.88
$α$	0.1120	7.34
$β$	0.7980	34.13
$γ_{1}$	0.0559	0.87
$γ_{2}$	-0.0565	-0.61
$γ_{3}$	0.0103	0.18
$γ_{4}$	-0.1391	-2.95
$γ_{5}$	0.2768	6.05
$γ_{6}$	-0.2246	-4.44
$γ_{7}$	0.0904	1.53
$γ_{8}$	0.0462	0.64
$γ_{9}$	-0.1133	-1.38
$γ_{10}$	0.0658	1.18

Estimation Period:
Jan 2, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts