Skip to main content
V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of SAP SE EGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Jul 17, 2026

Model 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

ParameterValuet-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