V-Lab
SAP SE AGARCH Volatility Analysis
Volatility prediction for Monday, September 7th, 2026
1 Day
35.92%
decreased by 2.72%
1 Week
36.25%
decreased by 2.39%
1 Month
37.34%
decreased by 1.30%
Analysis last updated: Saturday, September 5, 2026 at 08:55 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 4, 2026Model Insight
The news-impact curve is shifted (γ = 0.53) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
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Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1284 | 3.81*** |
| αARCH | 0.1401 | 8.63*** |
| βGARCH | 0.8363 | 60.08*** |
| γleverage | 0.5336 | 3.23*** |
0.976
Persistence29d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1284 | 3.81*** |
α ARCH Response to squared shocks | 0.1401 | 8.63*** |
β GARCH Volatility persistence | 0.8363 | 60.08*** |
γ leverage Additional response to negative shocks | 0.5336 | 3.23*** |
Persistence:
0.976
Half-life:
29 days
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