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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model 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
| Parameter | Value | t-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
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