SAP SE GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
34.67%
1 Week
34.66%
1 Month
34.65%
Analysis last updated: Friday, October 23, 2026 at 07:00 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 82 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.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 4.7150 | 1.13 |
| αscore | 0.0649 | 12.09*** |
| βpersistence | 0.9916 | 133.08*** |
| νDF | 4.2672 | 4.22*** |
0.992
Persistence82d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 4.7150 | 1.13 |
α score Weight on the scaled score | 0.0649 | 12.09*** |
β persistence Volatility persistence | 0.9916 | 133.08*** |
ν DF Student-t tail thickness | 4.2672 | 4.22*** |
Persistence:
0.992
Half-life:
82 days
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