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V-Lab

SAP SE GJR-GARCH Volatility Analysis

Volatility prediction for Monday, July 27th, 2026

1 Day

55.66%

increased by 16.54%

1 Week

55.29%

increased by 16.17%

1 Month

53.96%

increased by 14.84%

Analysis last updated: Sunday, July 26, 2026 at 12:42 AM 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 24, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 113% more than equivalent positive returns.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.1518
22.24***
α

ARCH

Response to squared shocks

0.0898
17.52***
β

GARCH

Volatility persistence

0.8405
230.34***
γ

leverage

Additional response to negative shocks

0.1012
11.53***

Persistence:

0.981

Half-life:

36 days