SAP SE EGARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
32.25%
decreased by 2.54%
1 Week
32.76%
decreased by 2.03%
1 Month
34.46%
decreased by 0.33%
Analysis last updated: Saturday, July 18, 2026 at 11:00 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 65% more than equivalent positive returns.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0663 | 17.21*** |
α ARCH Response to squared shocks | 0.2229 | 33.77*** |
β GARCH Volatility persistence | 0.9646 | 541.90*** |
γ leverage Additional response to negative shocks | -0.0544 | -13.18*** |
Persistence:
0.965
Half-life:
19 days
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