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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 31, 2026Model 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
| Parameter | Value | t-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
Other GJR-GARCH Analyses on International Equities