V-Lab
SAP SE GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
40.06%
decreased by 1.10%
1 Week
39.98%
decreased by 1.18%
1 Month
39.66%
decreased by 1.50%
Analysis last updated: Saturday, August 22, 2026 at 08:54 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 21, 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 = 4.27 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 | 4.7569 | 4.51*** |
α ARCH Response to squared shocks | 0.0652 | 48.79*** |
β GARCH Volatility persistence | 0.9917 | 536.90*** |
ν DF Student-t tail thickness | 4.2653 | 17.10*** |
Persistence:
0.992
Half-life:
83 days
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