SAP SE GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
41.97%
decreased by 2.59%
1 Week
41.85%
decreased by 2.71%
1 Month
41.42%
decreased by 3.14%
Analysis last updated: Thursday, July 16, 2026 at 06:45 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 10, 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.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.7303 | 4.52*** |
α ARCH Response to squared shocks | 0.0652 | 48.43*** |
β GARCH Volatility persistence | 0.9916 | 532.25*** |
ν DF Student-t tail thickness | 4.2671 | 16.98*** |
Persistence:
0.992
Half-life:
82 days
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