SAP SE GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
29.92%
decreased by 1.88%
1 Week
30.48%
decreased by 1.32%
1 Month
32.41%
increased by 0.61%
Analysis last updated: Tuesday, July 21, 2026 at 06:41 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
Volatility shocks decay with a half-life of 37 trading days, meaning a shock loses half its impact after approximately 37 days.
σ
GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1355 | 23.98*** |
α ARCH Response to squared shocks | 0.1321 | 35.00*** |
β GARCH Volatility persistence | 0.8492 | 265.55*** |
Persistence:
0.981
Half-life:
37 days
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