V-Lab: SAP SE GJR-GARCH Volatility Analysis

V-Lab

SAP SE GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, July 2nd, 2025:24.47% (-0.24%)

Analysis last updated: Thursday, July 3, 2025 at 12:07 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.1506	21.62
$α$	0.0872	16.90
$β$	0.8414	221.31
$γ$	0.1022	11.37

Estimation Period:
Jan 2, 1990 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts