V-Lab
SAP SE GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
46.87%
increased by 6.96%
1 Week
46.69%
increased by 6.78%
1 Month
46.03%
increased by 6.12%
Analysis last updated: Sunday, July 26, 2026 at 12:46 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 83 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.26 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.7607 | 4.52*** |
α ARCH Response to squared shocks | 0.0649 | 48.98*** |
β GARCH Volatility persistence | 0.9917 | 542.22*** |
ν DF Student-t tail thickness | 4.2612 | 17.22*** |
Persistence:
0.992
Half-life:
83 days
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