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V-Lab

SAP SE GJR-GARCH Volatility Analysis

Volatility prediction for Friday, August 7th, 2026

1 Day

44.95%

decreased by 3.35%

1 Week

44.95%

decreased by 3.35%

1 Month

44.95%

decreased by 3.35%

Analysis last updated: Friday, August 7, 2026 at 06:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of SAP SE GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Jul 31, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 112% more than equivalent positive returns.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.1524
22.30***
α

ARCH

Response to squared shocks

0.0905
17.71***
β

GARCH

Volatility persistence

0.8398
230.47***
γ

leverage

Additional response to negative shocks

0.1013
11.52***

Persistence:

0.981

Half-life:

36 days