V-Lab
SAP SE GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
29.48%
decreased by 1.21%
1 Week
30.20%
decreased by 0.49%
1 Month
32.60%
increased by 1.91%
Analysis last updated: Saturday, August 22, 2026 at 08:52 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
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 114% more than equivalent positive returns.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1538 | 22.34*** |
α ARCH Response to squared shocks | 0.0901 | 17.73*** |
β GARCH Volatility persistence | 0.8391 | 229.26*** |
γ leverage Additional response to negative shocks | 0.1028 | 11.69*** |
Persistence:
0.981
Half-life:
35 days
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